derivitec.risk_engine.types.FxVega

class derivitec.risk_engine.types.FxVega(risk_measure_id_stored=None, shock_size=None, use_implied_vol_bumps=False, use_inverse_currency_shock=False)[source]
__init__(risk_measure_id_stored=None, shock_size=None, use_implied_vol_bumps=False, use_inverse_currency_shock=False)[source]
Parameters:

  • risk_measure_id_stored – The risk measure id stored

  • shock_size – The shock size

  • use_implied_vol_bumps – If set to true vol bumps for surfaces without explicit reporting currency dependency

will be implied from bumps to vol surfaces involving the reporting currency. :param use_inverse_currency_shock: The use inverse currency shock flag

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()