derivitec.tradables.types.ConvertibleBondModelParams

class derivitec.tradables.types.ConvertibleBondModelParams(time_step_size=5, log_spot_step_size=0.25, loss_given_default=0.0, min_log_spot=-5, max_log_spot=5, min_number_time_steps=30, min_number_of_spot_points=800, grid_factor=1, use_andersen_buffum_model=False, parity_calculation_ignore_inactive_conversion=False, recovery_is_fraction_of_price=True, use_effective_soft_call_trigger=False)[source]
__init__(time_step_size=5, log_spot_step_size=0.25, loss_given_default=0.0, min_log_spot=-5, max_log_spot=5, min_number_time_steps=30, min_number_of_spot_points=800, grid_factor=1, use_andersen_buffum_model=False, parity_calculation_ignore_inactive_conversion=False, recovery_is_fraction_of_price=True, use_effective_soft_call_trigger=False)[source]
Parameters:

  • time_step_size – The stime_step_size

  • log_spot_step_size – The log_spot_step_size

  • loss_given_default – The loss_given_default

  • min_log_spot – The min_log_spot

  • max_log_spot – The max_log_spot

  • min_number_time_steps – The min_number_time_steps

  • min_number_of_spot_points – The min_number_of_spot_points

  • grid_factor – The grid_factor

  • use_andersen_buffum_model – The use_andersen_buffum_model

  • parity_calculation_ignore_inactive_conversion – The parity_calculation_ignore_inactive_conversion

  • recovery_is_fraction_of_price – use false if recovery rate is a fraction of par

  • use_effective_soft_call_trigger – use true to value soft call condition using an effective trigger

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([time_step_size, ...])

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()