derivitec.tradables.types.EqCorrelationSwap

class derivitec.tradables.types.EqCorrelationSwap(identifier=None, currency=None, expiration_date=None, equity_identifiers=None, fx_pairs=None, basket_name=None, strike=None, vol_strikes=None, initial_date=None, fixing_dates=None, period_str=None, annualisation_factor=None, settlement_lag=None, return_lag=None, include_mean_adjustment=None, calendar_name=None, business_day_convention=None, cutoff=None, corridor_asset_idx=None, lower_barrier=None, upper_barrier=None, corridor_type=None, is_normalised=None, **kwargs)[source]
__init__(identifier=None, currency=None, expiration_date=None, equity_identifiers=None, fx_pairs=None, basket_name=None, strike=None, vol_strikes=None, initial_date=None, fixing_dates=None, period_str=None, annualisation_factor=None, settlement_lag=None, return_lag=None, include_mean_adjustment=None, calendar_name=None, business_day_convention=None, cutoff=None, corridor_asset_idx=None, lower_barrier=None, upper_barrier=None, corridor_type=None, is_normalised=None, **kwargs)[source]
Parameters:

  • identifier – The security identifier

  • currency – The currency

  • expiration_date – The expiration date

  • equity_identifiers – The equity assets

  • fx_pairs – The fx pairs

  • basket_name – The basket name

  • strike – The correlation strike

  • vol_strikes – The vol strikes

  • initial_date – The initial fixing date

  • fixing_dates – The fixing dates

  • period_str – The period string

  • annualisation_factor – The annualisation factor

  • settlement_lag – The settlement lag

  • return_lag – The return lag

  • include_mean_adjustment – The include mean adjustment flag

  • calendar_name – The calendar name

  • business_day_convention – The business day convention

  • cutoff – The cutoff

  • corridor_asset_idx – The corridor asset index

  • lower_barrier – The lower barrier

  • upper_barrier – The upper barrier

  • corridor_type – The corridor type

  • is_normalised – The is normalised flag

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([identifier, currency, ...])

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()