serenity_types

• serenity_types package
  • Submodules
  • serenity_types.pricing module
  • serenity_types.pricing.derivatives module
  • serenity_types.pricing.derivatives.options module
  • serenity_types.pricing.derivatives.options.valuation module
    • MarketDataOverride
      • MarketDataOverride.additive_bump
      • MarketDataOverride.check_bump_or_replace_but_not_both()
      • MarketDataOverride.replacement
    • OptionValuation
      • OptionValuation.contract_size
      • OptionValuation.expiry
      • OptionValuation.implied_vol_override
      • OptionValuation.option_asset_id
      • OptionValuation.option_style
      • OptionValuation.option_type
      • OptionValuation.option_valuation_id
      • OptionValuation.qty
      • OptionValuation.spot_price_override
      • OptionValuation.strike
      • OptionValuation.underlier_asset_id
    • OptionValuationRequest
      • OptionValuationRequest.as_of_time
      • OptionValuationRequest.base_currency_id
      • OptionValuationRequest.check_non_empty_options_list()
      • OptionValuationRequest.check_vol_surface_id_or_vol_surface()
      • OptionValuationRequest.discounting_curve_override
      • OptionValuationRequest.discounting_method
      • OptionValuationRequest.model_config_id
      • OptionValuationRequest.options
      • OptionValuationRequest.projection_curve_override
      • OptionValuationRequest.projection_method
      • OptionValuationRequest.vol_model
      • OptionValuationRequest.vol_surface
      • OptionValuationRequest.vol_surface_id
    • OptionValuationResult
      • OptionValuationResult.delta
      • OptionValuationResult.delta_ccy
      • OptionValuationResult.delta_qty
      • OptionValuationResult.discounting_rate
      • OptionValuationResult.forward_price
      • OptionValuationResult.gamma
      • OptionValuationResult.gamma_ccy
      • OptionValuationResult.iv
      • OptionValuationResult.option_valuation_id
      • OptionValuationResult.projection_rate
      • OptionValuationResult.pv
      • OptionValuationResult.rho
      • OptionValuationResult.rho_ccy
      • OptionValuationResult.spot_notional
      • OptionValuationResult.spot_price
      • OptionValuationResult.theta
      • OptionValuationResult.theta_ccy
      • OptionValuationResult.vega
      • OptionValuationResult.vega_ccy
      • OptionValuationResult.vol_model
    • YieldCurveOverride
      • YieldCurveOverride.check_yield_curve_ids_or_yield_curve()
      • YieldCurveOverride.rate_override
      • YieldCurveOverride.yield_curve
      • YieldCurveOverride.yield_curve_id
  • serenity_types.pricing.derivatives.options.volsurface module
    • DiscountingMethod
      • DiscountingMethod.CURVE
      • DiscountingMethod.SELF_DISCOUNTING
    • InterpolatedVolatilitySurface
      • InterpolatedVolatilitySurface.calibration_params
      • InterpolatedVolatilitySurface.definition
      • InterpolatedVolatilitySurface.input_params
      • InterpolatedVolatilitySurface.strikes
      • InterpolatedVolatilitySurface.time_to_expiries
      • InterpolatedVolatilitySurface.vols
    • ProjectionMethod
      • ProjectionMethod.CURVE
      • ProjectionMethod.FUTURES
    • RawVolatilitySurface
      • RawVolatilitySurface.spot_price
      • RawVolatilitySurface.strike_type
      • RawVolatilitySurface.vol_points
    • StrikeType
      • StrikeType.ABSOLUTE
      • StrikeType.LOG_MONEYNESS
    • VolModel
      • VolModel.BLACK_SCHOLES
      • VolModel.SVI
    • VolPoint
      • VolPoint.discounting_rate
      • VolPoint.forward_price
      • VolPoint.iv
      • VolPoint.mark_price
      • VolPoint.option_asset_id
      • VolPoint.projection_rate
      • VolPoint.strike_value
      • VolPoint.time_to_expiry
    • VolatilitySurfaceAvailability
      • VolatilitySurfaceAvailability.as_of_times
      • VolatilitySurfaceAvailability.definition
    • VolatilitySurfaceDefinition
      • VolatilitySurfaceDefinition.display_name
      • VolatilitySurfaceDefinition.strike_type
      • VolatilitySurfaceDefinition.underlier_asset_id
      • VolatilitySurfaceDefinition.vol_model
      • VolatilitySurfaceDefinition.vol_surface_id
    • VolatilitySurfaceVersion
      • VolatilitySurfaceVersion.as_of_time
      • VolatilitySurfaceVersion.build_time
      • VolatilitySurfaceVersion.interpolated
      • VolatilitySurfaceVersion.raw
  • serenity_types.pricing.derivatives.rates module
  • serenity_types.pricing.derivatives.rates module.yield_curve
    • CurvePoint
      • CurvePoint.discount_factor
      • CurvePoint.duration
      • CurvePoint.mark_prices
      • CurvePoint.pillar_date
      • CurvePoint.rate
      • CurvePoint.rate_source_type
      • CurvePoint.rate_sources
      • CurvePoint.reference_assets
      • CurvePoint.tenor
    • CurveUsage
      • CurveUsage.DISCOUNTING
      • CurveUsage.PROJECTION
    • InterpolatedYieldCurve
      • InterpolatedYieldCurve.definition
      • InterpolatedYieldCurve.discount_factors
      • InterpolatedYieldCurve.durations
      • InterpolatedYieldCurve.rates
    • InterpolationMethod
      • InterpolationMethod.FLAT_FWD
    • RateSourceType
      • RateSourceType.FIXING
      • RateSourceType.FUNDING_RATE
      • RateSourceType.FUTURE_PX
      • RateSourceType.LENDING_RATE
      • RateSourceType.OPTION_PX
      • RateSourceType.STAKING_RATE
    • RawYieldCurve
      • RawYieldCurve.points
    • YieldCurveAvailability
      • YieldCurveAvailability.as_of_times
      • YieldCurveAvailability.definition
    • YieldCurveDefinition
      • YieldCurveDefinition.curve_usage
      • YieldCurveDefinition.display_name
      • YieldCurveDefinition.interpolation_method
      • YieldCurveDefinition.rate_source_type
      • YieldCurveDefinition.underlier_asset_id
      • YieldCurveDefinition.yield_curve_id
    • YieldCurveVersion
      • YieldCurveVersion.as_of_time
      • YieldCurveVersion.build_time
      • YieldCurveVersion.interpolated
      • YieldCurveVersion.raw
  • Module contents