derivitec.market_data.types.MarketDataOverride

class derivitec.market_data.types.MarketDataOverride(bond_prices=None, bond_yield_curve_overrides=None, discount_curve_overrides=None, discount_curve_fitting_overrides=None, equity_spot_overrides=None, equity_vol_surface_spot_model=None, fx_spot_currency=None, fx_spot_overrides_by_currency=None, equity_vol_grid_overrides=None, equity_vol_surface_overrides=None, index_curve_overrides=None, index_curve_fitting_overrides=None, cmdty_spot_overrides=None, borrow_curve_overrides=None, dividends_overrides=None, andersen_buffum_parameters_overrides=None, recovery_rate_overrides=None, equity_fx_correlation_overrides=None, equity_equity_correlation_overrides=None, equity_vol_of_var_curve_overrides=None)[source]
__init__(bond_prices=None, bond_yield_curve_overrides=None, discount_curve_overrides=None, discount_curve_fitting_overrides=None, equity_spot_overrides=None, equity_vol_surface_spot_model=None, fx_spot_currency=None, fx_spot_overrides_by_currency=None, equity_vol_grid_overrides=None, equity_vol_surface_overrides=None, index_curve_overrides=None, index_curve_fitting_overrides=None, cmdty_spot_overrides=None, borrow_curve_overrides=None, dividends_overrides=None, andersen_buffum_parameters_overrides=None, recovery_rate_overrides=None, equity_fx_correlation_overrides=None, equity_equity_correlation_overrides=None, equity_vol_of_var_curve_overrides=None)[source]
Parameters:

  • equity_vol_of_var_curve_overrides (list[derivitec.market_data.EquityVolOfVarCurve]) – Request-scoped replacement vol-of-variance curves. Curves apply when their reference date matches the calculation pricing/as-of date and take precedence over stored marks; curves for other dates are ignored. Use calendar-day maturities and finite non-negative decimal volatilities; zero disables the vol-of-variance convexity adjustment. No marks are uploaded.

  • bond_prices (list[derivitec.market_data.BondDataExternal]) – The bond prices

  • bond_yield_curve_overrides (list[derivitec.market_data.BondYieldCurveOverride]) – The bond yield curve overrides

  • discount_curve_overrides (list[derivitec.market_data.DiscountCurveOverride]) – The discount curve overrides

  • discount_curve_fitting_overrides (list[derivitec.market_data.CurveFittingOverride]) – The discount curve fitting overrides

  • equity_spot_overrides (dict[derivitec.misc.types.InstrumentIdentifier, float]) – The equity spot overrides

  • equity_vol_surface_spot_model (derivitec.market_data.EquityVolSurface.SpotModel) –

    The equity vol surface spot model. Controls how the vol surface slides when a spot override is supplied. This is distinct from the spot_ref embedded in a vol grid override, which is used for vol surface construction only (i.e. to convert the supplied vol grid into z-space).

    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.

  • fx_spot_currency (str) – The fx spot currency

  • fx_spot_overrides_by_currency (dict[str, float]) – The fx spot overrides by currency

  • equity_vol_grid_overrides (list[derivitec.market_data.EquityVolGrid]) – The equity vol grid overrides

  • equity_vol_surface_overrides (list[derivitec.market_data.EquityVolSurface]) – The equity vol surface overrides

  • index_curve_overrides (list[derivitec.market_data.DiscountCurveOverride]) – The index curve overrides

  • index_curve_fitting_overrides (list[derivitec.market_data.CurveFittingOverride]) – The index curve fitting overrides

  • cmdty_spot_overrides (dict[str, float]) – The cmdty spot overrides

  • borrow_curve_overrides (list[derivitec.market_data.BorrowCurveOverride]) – The borrow curve overrides

  • dividends_overrides (list[derivitec.market_data.DividendsOverride]) – The dividends overrides

  • andersen_buffum_parameters_overrides (list[derivitec.market_data.AndersenBuffumParameters]) – The Andersen Buffum parameters overrides

  • recovery_rate_overrides (dict[derivitec.misc.types.InstrumentIdentifier, float]) – The recovery rate overrides

  • equity_fx_correlation_overrides (list[derivitec.market_data.EquityFxCorrelationData]) – The equity fx correlation overrides

  • equity_equity_correlation_overrides (list[derivitec.market_data.EquityEquityCorrelationData]) – The equity equity correlation overrides

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([bond_prices, ...])

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()