derivitec.risk_engine.types.FxVolSurfaceScenario

class derivitec.risk_engine.types.FxVolSurfaceScenario(currency_to_bump=None, vol_shock=None, use_proportional_vol_bumps=None, counter_currency=None, vol_shock_funcs_by_fx_pair=None, scenario_name=None, scenario_description=None)[source]
__init__(currency_to_bump=None, vol_shock=None, use_proportional_vol_bumps=None, counter_currency=None, vol_shock_funcs_by_fx_pair=None, scenario_name=None, scenario_description=None)[source]
Parameters:

  • currency_to_bump – The currency to bump

  • vol_shock – The vol shock

  • use_proportional_vol_bumps – The use proportional vol bump flag

  • counter_currency – The counter currency

  • vol_shock_funcs_by_fx_pair – The vol_shock_funcs_by_fx_pair

  • scenario_name – The scenario name

  • scenario_description – The scenario description

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([currency_to_bump, vol_shock, ...])

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()