derivitec.market_data.types.SwaptionVolCube

class derivitec.market_data.types.SwaptionVolCube(alphas=None, benchmark_forward_swap_rates=None, benchmark_option_maturities=None, benchmark_swap_tenors=None, betas=None, nus=None, provider_id=None, rate_asset_id=None, reference_date=None, rhos=None, shifts=None)[source]
__init__(alphas=None, benchmark_forward_swap_rates=None, benchmark_option_maturities=None, benchmark_swap_tenors=None, betas=None, nus=None, provider_id=None, rate_asset_id=None, reference_date=None, rhos=None, shifts=None)[source]
Parameters:

  • alphas – The alphas

  • benchmark_forward_swap_rates – The benchmark forward swap rates

  • benchmark_option_maturities – The benchmark option maturities

  • benchmark_swap_tenors – The benchmark swap tenors

  • betas – The betas

  • nus – The nus

  • provider_id – The provider id

  • rate_asset_id – The rate asset id

  • reference_date – The reference date

  • rhos – The rhos

  • shifts – The shifts

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([alphas, ...])

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()