qis.InstrumentLeg¶

class qis.InstrumentLeg(instrument_type, underlying_id, quantity, multiplier=1.0, strike=None)[source]¶

Bases: object

A signed primitive valued in its underlying’s quote currency.

Variables:

instrument_type (qis.portfolio.stress.instruments.InstrumentType) – Primitive enum.
underlying_id (str) – Actual quote ID in the portfolio registry.
quantity (float) – Signed number of units; negative means short.
multiplier (float) – Positive contract multiplier.
strike (float | None) – Nonnegative option strike; absent for funded assets and futures.

Parameters:

instrument_type (InstrumentType)
underlying_id (str)
quantity (float)
multiplier (float)
strike (float | None)

__init__(instrument_type, underlying_id, quantity, multiplier=1.0, strike=None)¶

Parameters:

instrument_type (InstrumentType)
underlying_id (str)
quantity (float)
multiplier (float)
strike (float | None)

Return type:

None

Methods

`__init__`(instrument_type, underlying_id, ...)
`get_payoff`(quotes, spot0)	Evaluate signed model value locally, before currency conversion.
`get_quote_delta`(spot0, kink_policy)	Return current local derivative with respect to the actual quote.

Attributes

`multiplier`
`strike`
`instrument_type`
`underlying_id`
`quantity`

instrument_type: InstrumentType¶

underlying_id: str¶

quantity: float¶

multiplier: float = 1.0¶

strike: float | None = None¶

get_payoff(quotes, spot0)[source]¶

Evaluate signed model value locally, before currency conversion.

Parameters:

quotes (Series) – Scenario quotes indexed by scenario ID.
spot0 (float) – Baseline quote, used as the futures reference level.

Returns:

Local-currency model values with the supplied index.

Return type:

Series

get_quote_delta(spot0, kink_policy)[source]¶

Return current local derivative with respect to the actual quote.

For an option the call slope is one above the strike and zero below; the put slope is the call slope minus one. kink_policy sets the call slope only when spot0 == strike exactly, with no tolerance.

Parameters:

spot0 (float) – Quote at which the derivative is taken: the baseline quote for current risk, or a scenario quote for scenario-local bands.
kink_policy (KinkPolicy) – Common one-sided derivative policy for this holding.

Returns:

Signed units including multiplier and intrinsic exercise state.

Return type:

float