derivitec.market_data.types.EquityVolGrid

class derivitec.market_data.types.EquityVolGrid(provider_id=None, asset_id=None, reference_date=None, maturities=None, strike_type=None, strikes=None, vols=None, use_spline=None, spot_ref=None)

__init__(provider_id=None, asset_id=None, reference_date=None, maturities=None, strike_type=None, strikes=None, vols=None, use_spline=None, spot_ref=None)

Parameters:

• provider_id – The provider id

• asset_id – The asset id

• reference_date – The reference date

• maturities – The benchmark maturities

• strike_type – The strike type

• strikes – The strikes

• vols – The vols

• use_spline – The use spline flag

• spot_ref –

  The spot ref. spot_ref is used for vol surface construction only (i.e. to convert the supplied vol grid into z-space). It is distinct from equity_vol_surface_spot_model on the MarketDataOverride, which controls how the vol surface slides when a spot override is supplied.

  When both a spot override and a vol grid override are present, equity_vol_surface_spot_model only makes a difference if the spot_ref embedded in the vol grid differs from the spot override.

Methods

FromFlatVol(asset_id, reference_date, vol)
FromVolCurve(asset_id, reference_date, ...)
IsKeyValuePairListType(key_class_instance, ...)
__init__([provider_id, asset_id, ...])
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()