derivitec.market_data.types.EqVolIndexVolSurfaceBump

class derivitec.market_data.types.EqVolIndexVolSurfaceBump(vol_bump=None, use_proportional_vol_bumps=None, use_parallel_shift=None, bumped_vol_floor=None)[source]
__init__(vol_bump=None, use_proportional_vol_bumps=None, use_parallel_shift=None, bumped_vol_floor=None)[source]
Parameters:

  • vol_bump – The parallel vol bump

  • use_proportional_vol_bumps – True to use proportional vol bumps (i.e. a bump of 0.1 means 30% -> 33%; otherwise 30% -> 31%)

  • use_parallel_shift – True to use parallel shifts

  • bumped_vol_floor – ATMF vol will never be bumped lower than this

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([vol_bump, ...])

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()