Index

A

ABSOLUTE (serenity_types.pricing.derivatives.options.volsurface.StrikeType attribute) additive_bump (serenity_types.pricing.derivatives.options.valuation.MarketDataOverride attribute) as_of_time (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceVersion attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveVersion attribute)

as_of_times (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceAvailability attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveAvailability attribute)

B

base_currency_id (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) BLACK_SCHOLES (serenity_types.pricing.derivatives.options.volsurface.VolModel attribute)

build_time (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceVersion attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveVersion attribute)

C

calibration_params (serenity_types.pricing.derivatives.options.volsurface.InterpolatedVolatilitySurface attribute) check_bump_or_replace_but_not_both() (serenity_types.pricing.derivatives.options.valuation.MarketDataOverride class method) check_non_empty_options_list() (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest class method) check_vol_surface_id_or_vol_surface() (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest class method) check_yield_curve_ids_or_yield_curve() (serenity_types.pricing.derivatives.options.valuation.YieldCurveOverride class method)

contract_size (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) CURVE (serenity_types.pricing.derivatives.options.volsurface.DiscountingMethod attribute) (serenity_types.pricing.derivatives.options.volsurface.ProjectionMethod attribute) curve_usage (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveDefinition attribute) CurvePoint (class in serenity_types.pricing.derivatives.rates.yield_curve) CurveUsage (class in serenity_types.pricing.derivatives.rates.yield_curve)

D

definition (serenity_types.pricing.derivatives.options.volsurface.InterpolatedVolatilitySurface attribute) (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceAvailability attribute) (serenity_types.pricing.derivatives.rates.yield_curve.InterpolatedYieldCurve attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveAvailability attribute) delta (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) delta_ccy (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) delta_qty (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) discount_factor (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) discount_factors (serenity_types.pricing.derivatives.rates.yield_curve.InterpolatedYieldCurve attribute)

DISCOUNTING (serenity_types.pricing.derivatives.rates.yield_curve.CurveUsage attribute) discounting_curve_override (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) discounting_method (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) discounting_rate (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute) DiscountingMethod (class in serenity_types.pricing.derivatives.options.volsurface) display_name (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceDefinition attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveDefinition attribute) duration (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) durations (serenity_types.pricing.derivatives.rates.yield_curve.InterpolatedYieldCurve attribute)

E

expiry (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute)

F

FIXING (serenity_types.pricing.derivatives.rates.yield_curve.RateSourceType attribute) FLAT_FWD (serenity_types.pricing.derivatives.rates.yield_curve.InterpolationMethod attribute) forward_price (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute)

FUNDING_RATE (serenity_types.pricing.derivatives.rates.yield_curve.RateSourceType attribute) FUTURE_PX (serenity_types.pricing.derivatives.rates.yield_curve.RateSourceType attribute) FUTURES (serenity_types.pricing.derivatives.options.volsurface.ProjectionMethod attribute)

G

gamma (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute)

gamma_ccy (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute)

I

implied_vol_override (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) input_params (serenity_types.pricing.derivatives.options.volsurface.InterpolatedVolatilitySurface attribute) interpolated (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceVersion attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveVersion attribute) InterpolatedVolatilitySurface (class in serenity_types.pricing.derivatives.options.volsurface)

InterpolatedYieldCurve (class in serenity_types.pricing.derivatives.rates.yield_curve) interpolation_method (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveDefinition attribute) InterpolationMethod (class in serenity_types.pricing.derivatives.rates.yield_curve) iv (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute)

L

LENDING_RATE (serenity_types.pricing.derivatives.rates.yield_curve.RateSourceType attribute)

LOG_MONEYNESS (serenity_types.pricing.derivatives.options.volsurface.StrikeType attribute)

M

mark_price (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute) mark_prices (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) MarketDataOverride (class in serenity_types.pricing.derivatives.options.valuation) model_config_id (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) module serenity_types serenity_types.pricing serenity_types.pricing.derivatives serenity_types.pricing.derivatives.options serenity_types.pricing.derivatives.options.valuation serenity_types.pricing.derivatives.options.volsurface serenity_types.pricing.derivatives.rates serenity_types.pricing.derivatives.rates.yield_curve

O

option_asset_id (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute) OPTION_PX (serenity_types.pricing.derivatives.rates.yield_curve.RateSourceType attribute) option_style (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) option_type (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute)

option_valuation_id (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) options (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) OptionValuation (class in serenity_types.pricing.derivatives.options.valuation) OptionValuationRequest (class in serenity_types.pricing.derivatives.options.valuation) OptionValuationResult (class in serenity_types.pricing.derivatives.options.valuation)

P

pillar_date (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) points (serenity_types.pricing.derivatives.rates.yield_curve.RawYieldCurve attribute) PROJECTION (serenity_types.pricing.derivatives.rates.yield_curve.CurveUsage attribute) projection_curve_override (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute)

projection_method (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) projection_rate (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute) ProjectionMethod (class in serenity_types.pricing.derivatives.options.volsurface) pv (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute)

Q

qty (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute)

R

rate (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) rate_override (serenity_types.pricing.derivatives.options.valuation.YieldCurveOverride attribute) rate_source_type (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveDefinition attribute) rate_sources (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) rates (serenity_types.pricing.derivatives.rates.yield_curve.InterpolatedYieldCurve attribute) RateSourceType (class in serenity_types.pricing.derivatives.rates.yield_curve)

raw (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceVersion attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveVersion attribute) RawVolatilitySurface (class in serenity_types.pricing.derivatives.options.volsurface) RawYieldCurve (class in serenity_types.pricing.derivatives.rates.yield_curve) reference_assets (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) replacement (serenity_types.pricing.derivatives.options.valuation.MarketDataOverride attribute) rho (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) rho_ccy (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute)

S

SELF_DISCOUNTING (serenity_types.pricing.derivatives.options.volsurface.DiscountingMethod attribute) serenity_types module serenity_types.pricing module serenity_types.pricing.derivatives module serenity_types.pricing.derivatives.options module serenity_types.pricing.derivatives.options.valuation module serenity_types.pricing.derivatives.options.volsurface module serenity_types.pricing.derivatives.rates module

serenity_types.pricing.derivatives.rates.yield_curve module spot_notional (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) spot_price (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) (serenity_types.pricing.derivatives.options.volsurface.RawVolatilitySurface attribute) spot_price_override (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) STAKING_RATE (serenity_types.pricing.derivatives.rates.yield_curve.RateSourceType attribute) strike (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) strike_type (serenity_types.pricing.derivatives.options.volsurface.RawVolatilitySurface attribute) (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceDefinition attribute) strike_value (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute) strikes (serenity_types.pricing.derivatives.options.volsurface.InterpolatedVolatilitySurface attribute) StrikeType (class in serenity_types.pricing.derivatives.options.volsurface) SVI (serenity_types.pricing.derivatives.options.volsurface.VolModel attribute)

T

tenor (serenity_types.pricing.derivatives.rates.yield_curve.CurvePoint attribute) theta (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute)

theta_ccy (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) time_to_expiries (serenity_types.pricing.derivatives.options.volsurface.InterpolatedVolatilitySurface attribute) time_to_expiry (serenity_types.pricing.derivatives.options.volsurface.VolPoint attribute)

U

underlier_asset_id (serenity_types.pricing.derivatives.options.valuation.OptionValuation attribute) (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceDefinition attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveDefinition attribute)

V

vega (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) vega_ccy (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) vol_model (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) (serenity_types.pricing.derivatives.options.valuation.OptionValuationResult attribute) (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceDefinition attribute) vol_points (serenity_types.pricing.derivatives.options.volsurface.RawVolatilitySurface attribute) vol_surface (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute)

vol_surface_id (serenity_types.pricing.derivatives.options.valuation.OptionValuationRequest attribute) (serenity_types.pricing.derivatives.options.volsurface.VolatilitySurfaceDefinition attribute) VolatilitySurfaceAvailability (class in serenity_types.pricing.derivatives.options.volsurface) VolatilitySurfaceDefinition (class in serenity_types.pricing.derivatives.options.volsurface) VolatilitySurfaceVersion (class in serenity_types.pricing.derivatives.options.volsurface) VolModel (class in serenity_types.pricing.derivatives.options.volsurface) VolPoint (class in serenity_types.pricing.derivatives.options.volsurface) vols (serenity_types.pricing.derivatives.options.volsurface.InterpolatedVolatilitySurface attribute)

Y

yield_curve (serenity_types.pricing.derivatives.options.valuation.YieldCurveOverride attribute) yield_curve_id (serenity_types.pricing.derivatives.options.valuation.YieldCurveOverride attribute) (serenity_types.pricing.derivatives.rates.yield_curve.YieldCurveDefinition attribute)

YieldCurveAvailability (class in serenity_types.pricing.derivatives.rates.yield_curve) YieldCurveDefinition (class in serenity_types.pricing.derivatives.rates.yield_curve) YieldCurveOverride (class in serenity_types.pricing.derivatives.options.valuation) YieldCurveVersion (class in serenity_types.pricing.derivatives.rates.yield_curve)