derivitec.risk_engine.types.VarStatistics

class derivitec.risk_engine.types.VarStatistics(expected_shortfall=None, expected_shortfall_pct=None, id=None, marginal_var=None, marginal_var_pct=None, mean=None, message=None, name=None, std_dev=None, std_dev_pct=None, valid=None, var=None, var_pct=None, worst_day=None, worst_day_index=None, worst_loss=None)

__init__(expected_shortfall=None, expected_shortfall_pct=None, id=None, marginal_var=None, marginal_var_pct=None, mean=None, message=None, name=None, std_dev=None, std_dev_pct=None, valid=None, var=None, var_pct=None, worst_day=None, worst_day_index=None, worst_loss=None)

Parameters:

• expected_shortfall – The expected shortfall

• expected_shortfall_pct – The expected shortfall pct

• id – The id

• marginal_var – The marginal var

• marginal_var_pct – The marginal var pct

• mean – The mean

• message – The message

• name – The name

• std_dev – The std dev

• std_dev_pct – The std dev pct

• valid – The valid flag

• var – The var

• var_pct – The var pct

• worst_day – The worst day

• worst_day_index – The worst day index

• worst_loss – The worst loss

Methods

IsKeyValuePairListType(key_class_instance, ...)
__init__([expected_shortfall, ...])
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()