derivitec.market_data.types.FxVolGrid

class derivitec.market_data.types.FxVolGrid(fx_pair=None, reference_date=None, tenors=None, deltas=None, vols=None, provider_id=None, spot_ref=None)

__init__(fx_pair=None, reference_date=None, tenors=None, deltas=None, vols=None, provider_id=None, spot_ref=None)

Parameters:

• fx_pair – The fx pair

• reference_date – The reference date

• tenors – The tenors

• deltas – The deltas

• vols – vols

• provider_id – The provider id

• 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

IsKeyValuePairListType(key_class_instance, ...)
__init__([fx_pair, reference_date, tenors, ...])
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()