LSEG Data Library for Python

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surfaces.cap.SurfaceFilters

surfaces.eti.SurfaceFilters

surfaces.swaption.SurfaceFilters

Filter object for surface.

Module

refinitiv.data.content.ipa.surfaces.cap
refinitiv.data.content.ipa.surfaces.eti
refinitiv.data.content.ipa.surfaces.swaption

Parameters

Value Description Data type Optional Default value
maturity_filter_range The parameters needed to define the maturity filter.
See surface_eti.MaturityFilter bellow		 MaturityFilter Yes -
strike_range Define the StrikeFilterRange.
See surface_eti.StrikeFilterRange bellow		 StrikeFilterRange Yes -
strike_range_percent See surface_eti.StrikeFilter, below StrikeFilter Yes -
atm_tolerance_interval_percent Filter on the ATM tolerance interval percent. float Yes -
ensure_prices_monotonicity Filter on the monotonicity of price options. bool Yes -
max_of_median_bid_ask_spread Spread multiplier to filter the options with the same expiry. float Yes -
max_staleness_days Max Staleness past days to use for building the surface. int Yes -
use_only_calls Select only the calls to build the surface. bool Yes -
use_only_puts Select only the puts to build the surface. bool Yes -
use_weekly_options Filter on the weekly options. bool Yes -
include_min_tick_prices Take into account the minimum tick prices to build the surface. bool Yes -

Returned value

SurfaceFilters instance
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