derivitec.market_data.types.VolSurfaceSpotModelDefinition

class derivitec.market_data.types.VolSurfaceSpotModelDefinition(asset=None, reference_date=None, model_id=None, tenors=None, betas_up=None, betas_dn=None)[source]

Beta-adjusted ATMF spot model inputs for an equity volatility index.

The API fixes the model type; no model enum is exposed. Upload requests apply their authorized provider to every row and populate provenance on the server.

__init__(asset=None, reference_date=None, model_id=None, tenors=None, betas_up=None, betas_dn=None)[source]
Parameters:

  • asset – InstrumentIdentifier resolved to an internal volatility-index ID.

  • reference_date – datetime.datetime at midnight, without timezone conversion.

  • model_id – Nonblank model identifier used by the equity scenario.

  • tenors – Nonempty tenor strings yielding positive, strictly increasing maturities.

  • betas_up – Finite coefficients for positive relative equity spot shocks, one per tenor. Beta times the signed relative shock is the absolute decimal ATMF volatility change.

  • betas_dn – Coefficients for negative shocks, with the same units and tenor alignment. Negative and zero coefficients are allowed in both lists.

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([asset, reference_date, model_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()