_FXOptionParams

class rateslib.periods.parameters._FXOptionParams(_direction, _expiry, _delivery, _fx_index, _delta_type, _metric, _option_fixings, _strike)

Bases: object

Parameters for FX Option Period cashflows.

Attributes Summary

delivery	The date of the FX rate exchange for the FX rate used for settlement of the option.
delta_type	The delta type used by the option to define its delta.
direction	The direction of the option.
expiry	The expiry date of the option.
fx_index	The FX index defining the FX rate conventions
metric	The default pricing quoting of the option.
option_fixing	The FX fixing related to settlement of the option.
pair	The currency pair for settlement of the option.
strike	The strike price of the option.

Methods Summary

time_to_expiry(now)

The time to expiry of the option in years measured by calendar days from now.

Attributes Documentation

delivery

The date of the FX rate exchange for the FX rate used for settlement of the option.

delta_type

The delta type used by the option to define its delta.

direction

The direction of the option.

expiry

The expiry date of the option.

fx_index

The FX index defining the FX rate conventions

metric

The default pricing quoting of the option.

option_fixing

The FX fixing related to settlement of the option.

pair

The currency pair for settlement of the option.

strike

The strike price of the option.

Methods Documentation

time_to_expiry(now)

The time to expiry of the option in years measured by calendar days from now.