nordea_analytics.swap_definition

Module Contents

Classes

SwapDefinition

Swap definition.

class nordea_analytics.swap_definition.SwapDefinition(currency_paid, currency_received, type_paid, type_received, tenor, start=None, fix_frequency_paid=None, fix_frequency_received=None, fixed_rate_paid=None, fixed_rate_received=None, floating_spread_paid=None, floating_spread_received=None, day_count_convention_paid=None, day_count_convention_received=None, date_roll_convention=None)

Swap definition.

Parameters:

• currency_paid (str)

• currency_received (str)

• type_paid (Union[str, nordea_analytics.convention_variable_names.SwapLegType])

• type_received (Union[str, nordea_analytics.convention_variable_names.SwapLegType])

• tenor (Union[str, datetime.datetime])

• start (Optional[Union[str, datetime.datetime]])

• fix_frequency_paid (Optional[Union[str, nordea_analytics.convention_variable_names.SwapFixingFrequency]])

• fix_frequency_received (Optional[Union[str, nordea_analytics.convention_variable_names.SwapFixingFrequency]])

• fixed_rate_paid (Optional[float])

• fixed_rate_received (Optional[float])

• floating_spread_paid (Optional[float])

• floating_spread_received (Optional[Union[float, str]])

• day_count_convention_paid (Optional[Union[str, nordea_analytics.convention_variable_names.SwapDayCountConvention]])

• day_count_convention_received (Optional[Union[str, nordea_analytics.convention_variable_names.SwapDayCountConvention]])

• date_roll_convention (Optional[Union[str, nordea_analytics.convention_variable_names.DateRollConvention]])