derivitec.risk_engine.types.EquityVolIndexScenario

class derivitec.risk_engine.types.EquityVolIndexScenario(shocks_by_vol_index=None, vol_surface_spot_model=None, vol_indices_to_remove=None, scenario_name=None, scenario_description=None)[source]
__init__(shocks_by_vol_index=None, vol_surface_spot_model=None, vol_indices_to_remove=None, scenario_name=None, scenario_description=None)[source]
Parameters:

  • shocks_by_vol_index – Dict<InstrumentIdentifier, EqVolSurfaceBump>

  • vol_surface_spot_model – The vol surface spot model

  • vol_indices_to_remove – List of vol indices to remove

  • scenario_name – The scenario name

  • scenario_description – The scenario description

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([shocks_by_vol_index, ...])

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()