derivitec.risk_engine.types.CreditScenario

class derivitec.risk_engine.types.CreditScenario(global_shock=None, shocks_by_issuer_identifier=None, use_proportional_shocks=None, credit_spread_floor=None, use_forward_rate_bumps=None, tenors=None, reference_issuer_identifier=None, reference_currency=None, reference_debt_type=None, scenario_name=None, scenario_description=None)[source]
__init__(global_shock=None, shocks_by_issuer_identifier=None, use_proportional_shocks=None, credit_spread_floor=None, use_forward_rate_bumps=None, tenors=None, reference_issuer_identifier=None, reference_currency=None, reference_debt_type=None, scenario_name=None, scenario_description=None)[source]
Parameters:

  • global_shock – The global shock size

  • shocks_by_issuer_identifier – shocks by issuer identifier

  • use_proportional_shocks – The use proportional vol bump flag

  • credit_spread_floor – The credit spread floor

  • use_forward_rate_bumps – The use forward rate bumps

  • tenors – The tenors

  • reference_issuer_identifier – The reference issuer identifier

  • reference_currency – The reference currency

  • reference_debt_type – The reference debt type

  • scenario_name – The scenario name

  • scenario_description – The scenario description

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([global_shock, ...])

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()