derivitec.risk_engine.types.Theta

class derivitec.risk_engine.types.Theta(risk_measure_id_stored=None, roll_days=None, use_contract_currency=False, spot_theta_model=SpotThetaModel.Fixed, volatility_theta_model=VolThetaModel.VolFixedByTenor)[source]
__init__(risk_measure_id_stored=None, roll_days=None, use_contract_currency=False, spot_theta_model=SpotThetaModel.Fixed, volatility_theta_model=VolThetaModel.VolFixedByTenor)[source]
Parameters:

  • risk_measure_id_stored – The risk measure id stored

  • roll_days – The roll days

  • use_contract_currency – If true the measure uses the contract currency instead of the report currency for calculations

  • spot_theta_model – The spot theta model

  • volatility_theta_model – The vol theta model

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()