derivitec.risk_engine.types.FxRealisedVol

class derivitec.risk_engine.types.FxRealisedVol(risk_measure_id_stored=None, lookback_window=30, use_percentage_points=True, decay_period=0)[source]
__init__(risk_measure_id_stored=None, lookback_window=30, use_percentage_points=True, decay_period=0)[source]
Parameters:

  • risk_measure_id_stored – The risk measure id stored

  • lookback_window – The length of the look back window (in business calendar days)

  • use_percentage_points – If set true realised vols are expressed in percentage points, otherwise they are expressed in currency units.

  • decay_period – If >0 exponential decay weights are used, e.g., yesterday’s return weight is exp(-1/decayPeriod).

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()