derivitec.risk_engine.types.IrDelta

class derivitec.risk_engine.types.IrDelta(risk_measure_id_stored=None, shock_size=0.0001, tenors=None, use_proportional_shocks=None, use_forward_rate_bumps=None)[source]
__init__(risk_measure_id_stored=None, shock_size=0.0001, tenors=None, use_proportional_shocks=None, use_forward_rate_bumps=None)[source]
Parameters:

  • risk_measure_id_stored – The risk measure id stored

  • shock_size – The shock size

  • tenors – The tenors

  • use_proportional_shocks – The use proportional shocks flag

  • use_forward_rate_bumps – The use forward rate bumps 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()