derivitec.core.client.DerivitecClient.get_swaption_vol_cube_data

DerivitecClient.get_swaption_vol_cube_data(rate_asset_name, market_date, strike_spreads=None, include_market_quotes=None, include_sabr_parameters=None, bump=None, market_data_environment_name=None)

Get swaption vol cube data for rate asset and optional flags.

Parameters:

• rate_asset_name (str) – The rate asset name.

• market_date (datetime) – The market date.

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

• include_market_quotes (bool) – The include market quotes flag.

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

• bump (float) – The bump value.

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

Return type: