def _init_atm_vol_inputs(self):
atm_vol_input = VolCurveInput()
atm_vol_input.name = "atm_vol"
atm_vol_input.is_risk_input = True
atm_vol_input.default_increment = .001
atm_vol_input.display_name = "atm"
atm_vol_input.display_order = 0
atm_vol_input.vol_curve = self
atm_strike_input = VolCurveInput()
atm_strike_input.name = "atm_strike"
atm_strike_input.is_risk_input = False
atm_strike_input.default_increment = .1
atm_strike_input.display_name = "anchor"
atm_strike_input.display_order = 1
atm_strike_input.vol_curve = self
def _init_inputs(self):
super(OCFlexibleSpline, self)._init_atm_vol_inputs()
wide_skew_input = SkewInput()
wide_skew_input.name = "wide_skew"
wide_skew_input.value = 0.0
wide_skew_input.is_risk_input = True
wide_skew_input.default_increment = 0.001
wide_skew_input.vol_curve = self
wide_skew_input.display_name = "wide_skew"
wide_skew_input.display_order = 2
tight_skew_input = SkewInput()
tight_skew_input.name = "tight_skew"
tight_skew_input.value = 0.0
tight_skew_input.is_risk_input = True
tight_skew_input.default_increment = 0.001
tight_skew_input.vol_curve = self
tight_skew_input.display_name = "tight_skew"
tight_skew_input.display_order = 3
put_curve_input = VolCurveInput()
put_curve_input.name = "put_curve"
put_curve_input.value = 0.0
put_curve_input.is_risk_input = True
put_curve_input.default_increment = 0.001
put_curve_input.vol_curve = self
put_curve_input.display_name = "pc"
put_curve_input.display_order = 4
call_curve_input = VolCurveInput()
call_curve_input.name = "call_curve"
call_curve_input.value = 0.0
call_curve_input.is_risk_input = True
call_curve_input.default_increment = 0.001
call_curve_input.vol_curve = self
call_curve_input.display_name = "cc"
call_curve_input.display_order = 5
put_first_input = VolCurveInput()
put_first_input.name = "put_first_diff"
put_first_input.value = 0.0
put_first_input.is_risk_input = True
put_first_input.default_increment = 0.001
put_first_input.vol_curve = self
put_first_input.display_name = "p1d"
put_first_input.display_order = 6
put_second_input = VolCurveInput()
put_second_input.name = "put_second_diff"
put_second_input.value = 0.0
put_second_input.is_risk_input = True
put_second_input.default_increment = 0.001
put_second_input.vol_curve = self
put_second_input.display_name = "p2d"
put_second_input.display_order = 7
put_wing_input = VolCurveInput()
put_wing_input.name = "put_wing_diff"
put_wing_input.value = 0.0
put_wing_input.is_risk_input = True
put_wing_input.default_increment = 0.001
put_wing_input.vol_curve = self
put_wing_input.display_name = "pwd"
put_wing_input.display_order = 8
put_first_x_input = VolCurveInput()
put_first_x_input.name = "put_first_x"
put_first_x_input.value = 0.0
put_first_x_input.is_risk_input = False
put_first_x_input.default_increment = 0.1
put_first_x_input.vol_curve = self
put_first_x_input.display_name = "p1x"
put_first_x_input.display_order = 9
put_second_x_input = VolCurveInput()
put_second_x_input.name = "put_second_x"
put_second_x_input.value = 0.0
put_second_x_input.is_risk_input = False
put_second_x_input.default_increment = 0.1
put_second_x_input.vol_curve = self
put_second_x_input.display_name = "p2x"
put_second_x_input.display_order = 10
put_wing_x_input = VolCurveInput()
put_wing_x_input.name = "put_wing_x"
put_wing_x_input.value = 0.0
put_wing_x_input.is_risk_input = False
put_wing_x_input.default_increment = 0.1
put_wing_x_input.vol_curve = self
put_wing_x_input.display_name = "pwx"
put_wing_x_input.display_order = 11
call_first_input = VolCurveInput()
call_first_input.name = "call_first_diff"
call_first_input.value = 0.0
call_first_input.is_risk_input = True
call_first_input.default_increment = 0.001
call_first_input.vol_curve = self
call_first_input.display_name = "c1d"
call_first_input.display_order = 12
call_second_input = VolCurveInput()
call_second_input.name = "call_second_diff"
call_second_input.value = 0.0
call_second_input.is_risk_input = True
call_second_input.default_increment = 0.001
call_second_input.vol_curve = self
call_second_input.display_name = "c2d"
call_second_input.display_order = 13
call_wing_input = VolCurveInput()
call_wing_input.name = "call_wing_diff"
call_wing_input.value = 0.0
call_wing_input.is_risk_input = True
call_wing_input.default_increment = 0.001
call_wing_input.vol_curve = self
call_wing_input.display_name = "cwd"
call_wing_input.display_order = 14
call_first_x_input = VolCurveInput()
call_first_x_input.name = "call_first_x"
call_first_x_input.value = 0.0
call_first_x_input.is_risk_input = False
call_first_x_input.default_increment = 0.1
call_first_x_input.vol_curve = self
call_first_x_input.display_name = "c1x"
call_first_x_input.display_order = 15
call_second_x_input = VolCurveInput()
call_second_x_input.name = "call_second_x"
call_second_x_input.value = 0.0
call_second_x_input.is_risk_input = False
call_second_x_input.default_increment = 0.1
call_second_x_input.vol_curve = self
call_second_x_input.display_name = "c2x"
call_second_x_input.display_order = 16
call_wing_x_input = VolCurveInput()
call_wing_x_input.name = "call_wing_x"
call_wing_x_input.value = 0.0
call_wing_x_input.is_risk_input = False
call_wing_x_input.default_increment = 0.1
call_wing_x_input.vol_curve = self
call_wing_x_input.display_name = "cwx"
call_wing_x_input.display_order = 17
put_wing_slope_input = VolCurveInput()
put_wing_slope_input.name = "put_wing_slope_diff"
put_wing_slope_input.value = 0.0
put_wing_slope_input.is_risk_input = True
put_wing_slope_input.default_increment = -0.01
put_wing_slope_input.vol_curve = self
put_wing_slope_input.display_name = "pwsd"
put_wing_slope_input.display_order = 18
call_wing_slope_input = VolCurveInput()
call_wing_slope_input.name = "call_wing_slope_diff"
call_wing_slope_input.value = 0.0
call_wing_slope_input.is_risk_input = True
call_wing_slope_input.default_increment = 0.01
call_wing_slope_input.vol_curve = self
call_wing_slope_input.display_name = "cwsd"
call_wing_slope_input.display_order = 19