derivitec.risk_engine.types.FxSpotVolShock

class derivitec.risk_engine.types.FxSpotVolShock(calculate_price_changes=None, include_reporting_currency_shock=None, risk_measure_id_stored=None, spot_shock_size=None, use_implied_vol_bumps=None, use_proportional_vol_bumps=None, vol_shock_size=None, vol_surface_spot_model=SpotModel.StickyDelta)[source]
__init__(calculate_price_changes=None, include_reporting_currency_shock=None, risk_measure_id_stored=None, spot_shock_size=None, use_implied_vol_bumps=None, use_proportional_vol_bumps=None, vol_shock_size=None, vol_surface_spot_model=SpotModel.StickyDelta)[source]
Parameters:

  • calculate_price_changes – The calculate price changes

  • include_reporting_currency_shock – The include reporting currency shock

  • risk_measure_id_stored – The risk measure id stored

  • spot_shock_size – The spot shock size

  • use_implied_vol_bumps – The use implied vol bumps

  • use_proportional_vol_bumps – The use proportional vol bumps

  • vol_shock_size – The vol shock size

  • vol_surface_spot_model – The vol surface spot model

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([calculate_price_changes, ...])

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()