derivitec.risk_engine.types.DividendIndexVolScenario

class derivitec.risk_engine.types.DividendIndexVolScenario(shock_size=0.01, use_proportional_vol_bump=False, use_parallel_shift=True, bumped_vol_floor=-0.0, vol_shock_func=None, shocks_by_dividend_index=None, scenario_name='DividendIndexVolScenario', scenario_description='')[source]
__init__(shock_size=0.01, use_proportional_vol_bump=False, use_parallel_shift=True, bumped_vol_floor=-0.0, vol_shock_func=None, shocks_by_dividend_index=None, scenario_name='DividendIndexVolScenario', scenario_description='')[source]
Parameters:

  • shock_size – The shock size

  • use_proportional_vol_bump – Set to true to specify proportional shocks.

  • use_parallel_shift – Set to true to specify parallel shifts.

  • bumped_vol_floor – ATMF volatilities are floored at this value

  • vol_shock_func – The shock function

  • shocks_by_dividend_index – The shocks by dividend index

  • scenario_name – The scenario name

  • scenario_description – The scenario description

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([shock_size, ...])

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()