IRXccySwap

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

class IRXccySwap(termination_date=None, notional_amount=None, effective_date=None, principal_exchange=None, payer_currency=None, payer_spread=None, payer_rate_option=None, payer_designated_maturity=None, payer_frequency=None, payer_day_count_fraction=None, payer_business_day_convention=None, receiver_currency=None, receiver_spread=None, receiver_rate_option=None, receiver_designated_maturity=None, receiver_frequency=None, receiver_day_count_fraction=None, receiver_business_day_convention=None, fee=0.0, fee_currency=None, fee_payment_date=None, initial_fx_rate=None, payer_first_stub=None, receiver_first_stub=None, payer_last_stub=None, receiver_last_stub=None, payer_holidays=None, receiver_holidays=None, notional_reset_side=None, name=None)

Properties

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

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

fee: Optional[float] = 0.0

fee_currency: Optional[Currency] = None

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

initial_fx_rate: Optional[float] = None

instrument_quantity

metadata

name: Optional[str] = None

notional_amount: Optional[float] = None

notional_reset_side: Optional[PayReceive] = None

payer_business_day_convention: Optional[BusinessDayConvention] = None

payer_currency: Optional[Currency] = None

payer_day_count_fraction: Optional[DayCountFraction] = None

payer_designated_maturity: Optional[str] = None

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

payer_frequency: Optional[str] = None

payer_holidays: Optional[str] = None

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

payer_rate_option: Optional[str] = None

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

principal_exchange: Optional[PrincipalExchange] = None

provider

quantity_: InitVar[float] = 1

receiver_business_day_convention: Optional[BusinessDayConvention] = None

receiver_currency: Optional[Currency] = None

receiver_day_count_fraction: Optional[DayCountFraction] = None

receiver_designated_maturity: Optional[str] = None

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

receiver_frequency: Optional[str] = None

receiver_holidays: Optional[str] = None

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

receiver_rate_option: Optional[str] = None

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

resolution_key

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

type_: Optional[AssetType] = 'XccySwapMTM'

unresolved