derivitec.risk_engine.types.ThetaScenario

class derivitec.risk_engine.types.ThetaScenario(roll_days=0, scenario_description=None, scenario_name=None)[source]
__init__(roll_days=0, scenario_description=None, scenario_name=None)[source]
Parameters:

  • roll_days – The number of days the pricing date is rolled forward

  • scenario_description – The scenario description

  • scenario_name – The scenario name

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([roll_days, scenario_description, ...])

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()