derivitec.core.client.DerivitecClient.get_ir_bump_mkt_data

DerivitecClient.get_ir_bump_mkt_data(bumps, mkt_data_container)[source]

Get back a new market data container with interest rate bumps applied. The returned type is a dictionary mapping the bumps (in string form) to a bumped container.

Parameters:

  • bumps (list of float) – The bumps to apply

  • mkt_data_container (MktDataContainer) – The market data container

Return type:

dict of { str : derivitec.market_data.types.MktDataContainer }

Code

Bump some market data with a single 1bp shock.

>>> bumps = [0.0001]
>>> client.get_ir_bump_mkt_data(bumps, mkt_data)
{u'0.0001': <derivitec.market_data.types.MktDataContainer object at 0x0000000007BC1108>}