derivitec.market_data.response.ApiGetSwaptionVolCubeDataResponse

class derivitec.market_data.response.ApiGetSwaptionVolCubeDataResponse(swaption_vols=None, benchmark_maturities=None, benchmark_tenors=None, benchmark_forwards=None, strike_spreads=None, quoted_swaption_vols=None, quoted_benchmark_maturities=None, quoted_benchmark_tenors=None, quoted_benchmark_forwards=None, quoted_strike_spreads=None, alphas=None, betas=None, rhos=None, nus=None, shifts=None, error_messages=None, is_success=None)[source]
__init__(swaption_vols=None, benchmark_maturities=None, benchmark_tenors=None, benchmark_forwards=None, strike_spreads=None, quoted_swaption_vols=None, quoted_benchmark_maturities=None, quoted_benchmark_tenors=None, quoted_benchmark_forwards=None, quoted_strike_spreads=None, alphas=None, betas=None, rhos=None, nus=None, shifts=None, error_messages=None, is_success=None)[source]
Parameters:

  • swaption_vols – The swaption vols

  • benchmark_maturities – The benchmark maturities

  • benchmark_tenors – The benchmark tenors

  • benchmark_forwards – The benchmark forwards

  • strike_spreads – The strike spreads

  • quoted_swaption_vols – The quoted swaption vols

  • quoted_benchmark_maturities – The quoted benchmark maturities

  • quoted_benchmark_tenors – The quoted benchmark tenors

  • quoted_benchmark_forwards – The quoted benchmark forwards

  • quoted_strike_spreads – The quoted strike spreads

  • alphas – The shifted SABR alphas

  • betas – The shifted SABR betas

  • rhos – The shifted SABR rhos

  • nus – The shifted SABR nus

  • shifts – The shifted SABR shifts

  • error_messages – The error messages

  • is_success – The is success

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([swaption_vols, ...])

json_params()

JSON param names.

rebuild(content)

Recursive rebuild.

recursive_decompose(item)

Helper function to recursively convert some types to a suitable format for json.

to_dict()

typename()