derivitec.market_data.types.CreditSwaptionVolCubeData

class derivitec.market_data.types.CreditSwaptionVolCubeData(credit_index_identifier=None, reference_date=None, option_expiration_date=None, swap_expiration_date=None, strike_spread=None, strike_price=None, vol=None, provider_id=None)[source]
__init__(credit_index_identifier=None, reference_date=None, option_expiration_date=None, swap_expiration_date=None, strike_spread=None, strike_price=None, vol=None, provider_id=None)[source]
Parameters:

  • credit_index_identifier – The underlying credit index identifier

  • reference_date – The reference_date

  • option_expiration_date – The option expiration date

  • swap_expiration_date – The swap expiration date

  • strike_spread – The strike spread

  • strike_spread – The strike price

  • vol – The vol

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([credit_index_identifier, ...])

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()