derivitec.core.client.DerivitecClient.get_credit_swaption_vol_cube_data

DerivitecClient.get_credit_swaption_vol_cube_data(credit_index_identifier, market_date, strike_spreads=None, strike_prices=None, include_sabr_parameters=None, market_data_environment_name=None)

Get credit swaption vol cube data for credit index and optional flags.

Parameters:

• credit_index_identifier (InstrumentIdentifer) – The credit index identifier

• market_date (datetime) – The market date.

• strike_spreads – The list of strike spreads vs atm fwd.

• strike_prices – The list of price based strikes

• include_sabr_parameters (bool) – The include sabr parameters flag.

• market_data_environment_name (str) – The market data environment name (optional with default Organisation Level Environment)

Return type: