_FXSabrSurfaceMeta#

class rateslib.fx_volatility._FXSabrSurfaceMeta(_eval_date, _pair, _calendar, _delivery_lag, _weights, _expiries)#

Bases: object

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

Attributes Summary

`calendar`	Settlement calendar used to determine `delivery` from `expiry`.
`delivery_lag`	Business day settlement lag between `expiry` and `delivery`.
`eval_date`	Evaluation date of the Surface.
`eval_posix`	The unix timestamp of the `eval_date`.
`expiries`	A list of the expiries of each cross-sectional `FXSabrSmile`.
`expiries_posix`	A list of the unix timestamps of each date in `expiries`.
`pair`	FX pair against which options priced by this Surface settle against.
`weights`	Weights used for temporal volatility interpolation.
`weights_cum`	Weight adjusted time to expiry (in calendar days) per date for temporal volatility interpolation.

Attributes Documentation

pair#: FX pair against which options priced by this Surface settle against.

weights_cum#: Weight adjusted time to expiry (in calendar days) per date for temporal volatility interpolation.