_FXSmileMeta#

class rateslib.fx_volatility._FXSmileMeta(_eval_date: 'datetime', _expiry: 'datetime', _plot_x_axis: 'str', _delta_type: 'str', _pair: 'str | None', _calendar: 'CalTypes', _delivery: 'datetime', _delivery_lag: 'int')#

Bases: object

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`.
`delta_type`	The delta type of the delta indexes associated with the `nodes` of the Smile.
`eval_date`	Evaluation date of the Smile.
`expiry`	Expiry date of the options priced by this Smile
`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

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.

delta_type#: The delta type of the delta indexes associated with the nodes of the Smile.

eval_date#: Evaluation date of the Smile.

expiry#: Expiry date of the options priced by this Smile

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.

_FXSmileMeta#

This Page