derivitec.core.client.DerivitecClient.calculate_risk_on_tradables

DerivitecClient.calculate_risk_on_tradables(tradable_ids, risk_measures, pricing_date=None, market_date=None, market_data_override=None, reporting_currency=None, risk_scenarios=None, exclude_historically_derived_vol_surfaces=None, use_real_time_eq_spot=False, use_real_time_fx_spot=False, pricing_model_manager=None, market_data_environment_name=None, equity_indices_to_decompose=None, pricing_environment_name=None)[source]

Calculate risk on a set of tradable ids.

Parameters:

  • tradable_ids (list of str) – The tradable ids.

  • risk_measures (list[derivitec.risk_engine.types.RiskMeasure]) – The risk measures.

  • pricing_date (datetime.datetime) – The pricing date.

  • market_date (datetime.datetime) – The market date.

  • market_data_override (derivitec.market_data.types.MarketDataOverride) – The market data override.

  • reporting_currency (str) – The reporting currency.

  • risk_scenarios (list[derivitec.risk_engine.types.RiskScenario]) – The risk scenarios

  • exclude_historically_derived_vol_surfaces (bool) – The exclude historically derived vol surfaces flag

  • use_real_time_eq_spot (bool) – The use real time eq spot flag

  • use_real_time_fx_spot (bool) – The use real time fx spot flag

  • pricing_model_manager (derivitec.tradables.types.PricingModelManager) – The pricing model manager

  • market_data_environment_name (str) – The market data environment name (optional with default Organisation Level Environment)

  • equity_indices_to_decompose (dict[derivitec.misc.types.InstrumentIdentifier,bool]) – The equity indices to decompose with flag to control spot calculation of index. {InstrumentIdenfitifer : bool}

  • pricing_environment_name (str) – The pricing environment name (optional, defaults to None)

Return type:

derivitec.risk_engine.response.ApiCalculateRiskResponse

Code See derivitec.client.client.DerivitecClient.calculate_risk_on_contracts