IRSwaption

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

class IRSwaption(pay_or_receive=None, termination_date=None, notional_currency=None, effective_date=None, notional_amount=None, expiration_date=None, floating_rate_option=None, floating_rate_designated_maturity=None, floating_rate_spread=None, floating_rate_frequency=None, floating_rate_day_count_fraction=None, floating_rate_business_day_convention=None, fixed_rate_frequency=None, fixed_rate_day_count_fraction=None, fixed_rate_business_day_convention=None, strike=None, premium=None, premium_payment_date=None, fee=0.0, fee_currency=None, fee_payment_date=None, clearing_house=None, settlement=None, buy_sell=None, name=None)

Properties

buy_sell: Optional[BuySell] = None

clearing_house: Optional[SwapClearingHouse] = None

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

effective_date: Union[date, str, None] = None

expiration_date: Union[date, str, None] = None

fee: Optional[float] = 0.0

fee_currency: Optional[Currency] = None

fee_payment_date: Union[date, str, None] = None

fixed_rate_business_day_convention: Optional[BusinessDayConvention] = None

fixed_rate_day_count_fraction: Optional[DayCountFraction] = None

fixed_rate_frequency: Optional[str] = None

floating_rate_business_day_convention: Optional[BusinessDayConvention] = None

floating_rate_day_count_fraction: Optional[DayCountFraction] = None

floating_rate_designated_maturity: Optional[str] = None

floating_rate_frequency: Optional[str] = None

floating_rate_option: Optional[str] = None

floating_rate_spread: Optional[float] = None

instrument_quantity

metadata

name: Optional[str] = None

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

notional_currency: Optional[Currency] = None

pay_or_receive: Optional[PayReceive] = None

premium: Union[float, str, None] = None

premium_payment_date: Union[date, str, None] = None

provider

quantity_: InitVar[float] = 1

resolution_key

settlement: Optional[SwapSettlement] = None

strike: Union[float, str, None] = None

termination_date: Union[date, str, None] = None

type_: Optional[AssetType] = 'Swaption'

unresolved