_FXSabrSmileMeta#

class rateslib.fx_volatility._FXSabrSmileMeta(_eval_date, _expiry, _pair, _calendar, _delivery, _delivery_lag, _plot_x_axis)#

Bases: object

An immutable container of meta data associated with a FXSabrSmile used to make calculations.

Attributes Summary

`calendar`	Settlement calendar used to determine `delivery` from `expiry`.
`delivery`	Delivery date of the forward FX rate applicable to options priced by this Smile
`delivery_lag`	Business day settlement lag between `expiry` and `delivery`.
`eval_date`	Evaluation date of the Smile.
`expiry`	Expiry date of the options priced by this Smile
`n`	The number of pricing parameters.
`pair`	FX pair against which options priced by this Smile settle against.
`plot_x_axis`	The default `x_axis` parameter passed to `plot()`
`t_expiry`	Calendar days from eval to expiry divided by 365.
`t_expiry_sqrt`	Square root of `t_expiry`.

Attributes Documentation

delivery#: Delivery date of the forward FX rate applicable to options priced by this Smile