derivitec.risk_engine.types.EqVega

class derivitec.risk_engine.types.EqVega(risk_measure_id_stored=None, shock_size=0.01, use_proportional_vol_bumps=False, use_parallel_shift=True, shock_equity_vol_indices=True, use_contract_currency=False, tenors=None)[source]
__init__(risk_measure_id_stored=None, shock_size=0.01, use_proportional_vol_bumps=False, use_parallel_shift=True, shock_equity_vol_indices=True, use_contract_currency=False, tenors=None)[source]
Parameters:

  • risk_measure_id_stored – The risk measure id stored

  • shock_size – The shock_size

  • use_proportional_vol_bumps – The use_proportional_vol_bumps

  • use_parallel_shift – The use_parallel_shift

  • shock_equity_vol_indices – The shock_equity_vol_indices

  • use_contract_currency – The use_contract_currency

  • tenors – The tenors

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()