Python TdapiRatesDefaultsProvider Examples

Example #1

def test_get_floating_rate_option_for_benchmark_retuns_rate_usd():
    provider = TdapiRatesDefaultsProvider(SWAPTION_DEFAULTS)
    value = provider.get_floating_rate_option_for_benchmark(
        CurrencyEnum.USD, "LIBOR")
    assert value == "USD-LIBOR-BBA"

Example #2

File: test_measures_rates.py Project: xuover/gs-quant

def test_get_swaption_parameter_floating_rate_option_returns_given_value():
    provider = TdapiRatesDefaultsProvider(SWAPTION_DEFAULTS)
    value = provider.get_swaption_parameter(CurrencyEnum.GBP,
                                            "floatingRateTenor", "66m")
    assert value == "66m"

Example #3

def test_get_swaption_parameter_strike_reference_option_returns_given_value():
    provider = TdapiRatesDefaultsProvider(SWAPTION_DEFAULTS)
    value = provider.get_swaption_parameter(CurrencyEnum.GBP,
                                            "strikeReference", "ATM+666")
    assert value == "ATM+666"