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