FXVolatilitySwap¶

For methods of this class, see gs_quant.base.Priceable

class FXVolatilitySwap(pair=None, buy_sell=None, strike_vol=None, notional_currency=None, notional_amount=None, first_fixing_date=None, last_fixing_date=None, settlement_date=None, fixing_source=None, fixing_frequency=None, annualization_factor=None, calculate_mean_return=0.0, premium=0, premium_currency=None, premium_payment_date=None, name=None)[source]¶

Properties

annualization_factor: Optional[float] = None¶

buy_sell: Optional[BuySell] = None¶

calculate_mean_return: Optional[float] = 0.0¶

dataclass_json_config = {'letter_case': <function camelcase>}¶

first_fixing_date: Union[date, str, None] = None¶

fixing_frequency: Optional[str] = None¶

fixing_source: Optional[str] = None¶

instrument_quantity¶

last_fixing_date: Union[date, str, None] = None¶

metadata¶

name: Optional[str] = None¶

notional_amount: Union[float, str, None] = None¶

notional_currency: Optional[Currency] = None¶

pair: Optional[str] = None¶

premium: Union[float, str, None] = 0¶

premium_currency: Optional[Currency] = None¶

premium_payment_date: Optional[str] = None¶

provider¶

quantity_: InitVar[float] = 1¶

resolution_key¶

settlement_date: Union[date, str, None] = None¶

strike_vol: Union[float, str, None] = None¶

type_: Optional[AssetType] = 'VolatilitySwap'¶

unresolved¶