SwaptionGroup

class sigtech.framework.instruments.swaption.SwaptionGroup

Baseclasses: SwaptionGroupBase

A class representing a swaption group.

forecast_curves(data_dates, data_point=None)

Forecast curves for the instrument.

Parameters:

• data_dates – Input date or list of dates for which the curves are needed.

• data_point – Input data point (optional).

Returns:

pandas Series.

get_option_group_dependencies(t: time, tz: tzinfo, valuation_currency: str, start_dt: datetime, end_dt: datetime, greek_calculation_dependencies: bool = False) → list[sigtech.framework.internal.infra.mu.graph.registry.factory.Dependency]

Dependencies at the option group level