LSEG Data Library for Python

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Swaption Calculation Params

surfaces.swaption.SwaptionCalculationParams contains the properties that may be used to control the calculation.

Module

refinitiv.data.content.ipa.surfaces.swaption

Syntax

ipa.surfaces.swaption.SwaptionCalculationParams(input_volatility_type, volatility_adjustment_type, ...)

Parameters

Value Description Data type Optional Default value
input_volatility_type See InputVolatilityType InputVolatilityType Yes -
volatility_adjustment_type See VolatilityAdjustmentType VolatilityAdjustmentType Yes -
x_axis See Axis Axis No -
y_axis See Axis Axis No -
z_axis See Axis Axis No -
market_data_date DEPRECATED. This attribute doesn't use anymore. str Yes -
shift_percent Shift value to use in calibration(Strike/Forward). number Yes -
source Requested volatility data contributor. str Yes -
stripping_shift_percent Shift value to use in caplets stripping(Strike/Forward). number Yes None
valuation_date str Yes -
filters DEPRECATED - - -
price_side Specifies whether bid, ask, mid or settle is used to build the surface. PriceSide Yes MID
time_stamp Define how the timestamp is selected. See TimeStamp TimeStamp Yes -
calculation_date The date the volatility surface is generated. str, date, datetime Yes -
calibration_type The calibration type defines the solver used during calibration (i.e. sabr model calibration optimization method). See CalibrationType enum Yes -
output_volatility_type The sabr volatility can be expressed as lognormal volatility (%) or normal volatility (bp). See VolatilityType enum Yes
strike_type The strike axis type of the volatility cube surface. See StrikeType enum Yes -
beta Sabr beta parameter. the possible values: a number between 0 and 1. float Yes 0.45
include_caplets_volatility Determines whether the volatility cube is computed from interpolations on volatility skews, or via atm swaption volatility and caplets volatility. bool Yes True
use_smart_params An indicator if a first sabr calibration is used to estimate the model initial parameters (correlation and volatility of volatility). bool Yes False
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