derivitec.risk_engine.types.EqVolScenario

class derivitec.risk_engine.types.EqVolScenario(bumped_vol_floor=0, scenario_description=None, scenario_name=None, shock_size=0, use_atmf_rescale_factor=False, use_proportional_vol_bump=False)[source]
__init__(bumped_vol_floor=0, scenario_description=None, scenario_name=None, shock_size=0, use_atmf_rescale_factor=False, use_proportional_vol_bump=False)[source]
Parameters:

  • bumped_vol_floor – ATMF volatilities are floored at this value

  • scenario_description – The scenario description

  • scenario_name – The scenario name

  • shock_size – The shock size

  • use_atmf_rescale_factor – Rescales skew and smile parameters to make vol surface shock more parallel

  • use_proportional_vol_bumps – Set to true to specify proportional shocks.

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([bumped_vol_floor, ...])

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()