derivitec.tradables.types.FxVolatilitySwap

class derivitec.tradables.types.FxVolatilitySwap(identifier=None, annualisation_factor=None, fx_pair=None, currency=None, calendar_name=None, expiration_date=None, initial_date=None, settlement_date=None, tenor=None, vol_strike=None, premium_currency=None, cap_level=None, **kwargs)[source]
__init__(identifier=None, annualisation_factor=None, fx_pair=None, currency=None, calendar_name=None, expiration_date=None, initial_date=None, settlement_date=None, tenor=None, vol_strike=None, premium_currency=None, cap_level=None, **kwargs)[source]
Parameters:

  • identifier – The security identifier

  • annualisation_factor – The annualisation factor

  • fx_pair – The fx pair

  • currency – The currency

  • calendar_name – The calendar name

  • expiration_date – The expiration date

  • initial_fixing_date – The initial fixing date

  • settlement_date – The settlement date

  • tenor – The tenor

  • vol_strike – The vol_strike

  • premium_currency – The premium currency

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([identifier, annualisation_factor, ...])

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()