derivitec.tradables.types.EqIRDualDigitalOption

class derivitec.tradables.types.EqIRDualDigitalOption(currency=None, expiration_date=None, identifier=None, equity_asset=None, ir_swap_fixing_instrument=None, option_claim_type=None, strike=None, lower_rate_barrier=None, upper_rate_barrier=None, settlement_lag=None, calendar=None, **kwargs)[source]

Equity option conditional on an interest-rate swap fixing at expiry.

__init__(currency=None, expiration_date=None, identifier=None, equity_asset=None, ir_swap_fixing_instrument=None, option_claim_type=None, strike=None, lower_rate_barrier=None, upper_rate_barrier=None, settlement_lag=None, calendar=None, **kwargs)[source]
Parameters:

  • currency – Contract currency code, e.g. USD.

  • expiration_date – Option expiry as a datetime, serialized in UTC.

  • identifier – Optional caller-supplied contract identifier.

  • equity_asset – InstrumentIdentifier for the equity underlying.

  • ir_swap_fixing_instrument – InstrumentIdentifier for a registered swap fixing.

  • option_claim_type – Equity payoff: Call=0, Put=1, DigitalCall=2, DigitalPut=3.

  • strike – Equity strike in spot quotation units.

  • lower_rate_barrier – Lower swap-rate barrier as a decimal (0.01 is 1%).

  • upper_rate_barrier – Upper swap-rate barrier as a decimal (0.05 is 5%).

  • settlement_lag – Settlement delay in business days after expiry.

  • calendar – Settlement calendar name.

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([currency, expiration_date, ...])

json_params()

JSON param names.

rebuild(content)

Recursive rebuild.

recursive_decompose(item)

Helper function to recursively convert some types to a suitable format for json.

to_dict()

typename()