InflationSwap

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

class InflationSwap(pay_or_receive=None, termination_date=None, notional_currency=None, effective_date=None, notional_amount=None, index=None, floating_rate_business_day_convention=None, fixed_rate=None, fixed_rate_business_day_convention=None, fee=0.0, base_cpi=None, clearing_house=None, name=None)

Properties

base_cpi: Optional[float] = None

clearing_house: Optional[SwapClearingHouse] = None

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

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

fee: Optional[float] = 0.0

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

fixed_rate_business_day_convention: Optional[BusinessDayConvention] = None

floating_rate_business_day_convention: Optional[BusinessDayConvention] = None

index: Optional[str] = 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

provider

quantity_: InitVar[float] = 1

resolution_key

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

type_: Optional[AssetType] = 'InflationSwap'

unresolved