_FXDeltaVolSurfaceMeta#

class rateslib.fx_volatility._FXDeltaVolSurfaceMeta(_eval_date, _delta_type, _plot_x_axis, _weights, _delta_indexes, _expiries)#

Bases: object

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

Attributes Summary

`delta_indexes`	A list of delta indexes associated with each cross-sectional `FXDeltaVolSmile`.
`delta_type`	The delta type of the delta indexes associated with the `nodes` of each cross-sectional Smile.
`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 `FXDeltaVolSmile`.
`expiries_posix`	A list of the unix timestamps of each date in `expiries`.
`plot_x_axis`	The default `x_axis` parameter passed to `plot()`
`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

delta_indexes#: A list of delta indexes associated with each cross-sectional FXDeltaVolSmile.

delta_type#: The delta type of the delta indexes associated with the nodes of each cross-sectional Smile.

expiries#: A list of the expiries of each cross-sectional FXDeltaVolSmile.

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