derivitec.risk_engine.types.EqDelta

class derivitec.risk_engine.types.EqDelta(risk_measure_id_stored=None, shock_size=0.01, vol_surface_spot_model=SpotModel.StickyDelta, sticky_smile_ratio=0.0, use_contract_currency=False)[source]
__init__(risk_measure_id_stored=None, shock_size=0.01, vol_surface_spot_model=SpotModel.StickyDelta, sticky_smile_ratio=0.0, use_contract_currency=False)[source]
Parameters:

  • risk_measure_id_stored – The risk measure id stored

  • shock_size – The shock size

  • vol_surface_spot_model – The vol surface spot model

  • sticky_smile_ratio – The sticky smile ratio

  • use_contract_currency – The use contract currency flag

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([risk_measure_id_stored, ...])

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()