derivitec.risk_engine.types.FxVolShock

class derivitec.risk_engine.types.FxVolShock(risk_measure_id_stored=None, deltas=None, shocks=None, use_proportional_shocks=None, vol_shock_func=None, tenors=None)[source]
__init__(risk_measure_id_stored=None, deltas=None, shocks=None, use_proportional_shocks=None, vol_shock_func=None, tenors=None)[source]
Parameters:

  • risk_measure_id_stored (str) – The risk measure id stored

  • deltas (list of str) – The deltas

  • shocks (list of float) – The shocks

  • use_proportional_shocks (bool) – The use_proportional_shocks flag

  • vol_shock_func (derivitec.risk_engine.types.VolShockFuncShocksByStrike) – The vol shock func

  • tenors (list of str) – The tenors

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([risk_measure_id_stored, deltas, ...])

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()