derivitec.tradables.types.EqCorridorVarianceSwap

class derivitec.tradables.types.EqCorridorVarianceSwap(identifier=None, annualisation_factor=None, calendar_name=None, currency=None, expiration_date=None, include_dividend_jumps=None, initial_date=None, return_lag=1, settlement_delay=None, tenor=None, underlyer=None, vol_strike=None, lower_barrier=None, is_lower_barrier_active=None, upper_barrier=None, is_upper_barrier_active=None, is_normalised=None, knockout_barrier=None, knockout_barrier_type=BarrierType.NULL, corridor_type=CorridorType.Prior, knockin_barrier_type=BarrierType.NULL, knockin_observation_type=None, knockin_barrier=None, knockin_upper_barrier=None, knockin_payoff_type=None, **kwargs)[source]
__init__(identifier=None, annualisation_factor=None, calendar_name=None, currency=None, expiration_date=None, include_dividend_jumps=None, initial_date=None, return_lag=1, settlement_delay=None, tenor=None, underlyer=None, vol_strike=None, lower_barrier=None, is_lower_barrier_active=None, upper_barrier=None, is_upper_barrier_active=None, is_normalised=None, knockout_barrier=None, knockout_barrier_type=BarrierType.NULL, corridor_type=CorridorType.Prior, knockin_barrier_type=BarrierType.NULL, knockin_observation_type=None, knockin_barrier=None, knockin_upper_barrier=None, knockin_payoff_type=None, **kwargs)[source]
Parameters:

  • identifier – The security identifier

  • annualisation_factor – The annualisation factor

  • calendar_name – The calendar name

  • currency – The currency

  • expiration_date – The expiration date

  • include_dividend_jumps – The include dividend jumps

  • initial_date – The initial date

  • return_lag – The return lag

  • settlement_delay – The settlement delay

  • tenor – The tenor

  • underlyer – The underlyer

  • vol_strike – The vol strike

  • lower_barrier – The lower barrier

  • is_lower_barrier_active – The is lower barrier active flag

  • upper_barrier – The upper barrier

  • is_upper_barrier_active – The is upper barrier active flag

  • is_normalised – The is normalised flag

  • knockout_barrier – The knockout barrier

  • knockout_barrier_type – The knockout barrier type

  • corridor_type – The corridor_type

  • knockin_barrier_type – The knockin_barrier_type

  • knockin_observation_type – The knockin_observation_type

  • knockin_barrier – The knockin_barrier

  • knockin_upper_barrier – The knockin_upper_barrier

  • knockin_payoff_type – The knockin_payoff_type

Methods

IsKeyValuePairListType(key_class_instance, ...)

__init__([identifier, annualisation_factor, ...])

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()