qis.PayoffContext

class qis.PayoffContext(quotes, baseline_quotes, fx_rates, baseline_fx_rates, factor_log_shocks, quote_response_jacobian, fx_response_jacobian, reference_currency, quote_currencies, response_log_shocks)

Bases: object

Read-only labelled market view for public composite payoff implementations.

DataFrame/Series properties return defensive copies. Quotes and FX include only the supplied scenario rows; baseline values are supplied separately.

Variables:

• quote_currencies – Quote-currency code for each actual quote.

• response_log_shocks – Scenario-by-shared-response log returns.

• quotes – Scenario-by-actual-quote local prices.

• baseline_quotes – Actual quote baselines.

• fx_rates – Scenario FX, in reference currency per unit of local currency.

• baseline_fx_rates – Baseline reference/local currency conversions.

• factor_log_shocks – Fully resolved scenario-by-factor log shocks.

• quote_response_jacobian – Derivative of each local log quote by shared response.

• fx_response_jacobian – Derivative of each log FX conversion by shared response.

• reference_currency – Portfolio value currency.

Parameters:

• quotes (DataFrame)

• baseline_quotes (Series)

• fx_rates (DataFrame)

• baseline_fx_rates (Series)

• factor_log_shocks (DataFrame)

• quote_response_jacobian (DataFrame)

• fx_response_jacobian (DataFrame)

• reference_currency (str)

• quote_currencies (Series)

• response_log_shocks (DataFrame)

__init__(quotes, baseline_quotes, fx_rates, baseline_fx_rates, factor_log_shocks, quote_response_jacobian, fx_response_jacobian, reference_currency, quote_currencies, response_log_shocks)

Copy the market view so custom payoffs cannot alter shared evaluations.

Parameters:

• quotes (DataFrame)

• baseline_quotes (Series)

• fx_rates (DataFrame)

• baseline_fx_rates (Series)

• factor_log_shocks (DataFrame)

• quote_response_jacobian (DataFrame)

• fx_response_jacobian (DataFrame)

• reference_currency (str)

• quote_currencies (Series)

• response_log_shocks (DataFrame)

Methods

__init__(quotes, baseline_quotes, fx_rates, ...)

Copy the market view so custom payoffs cannot alter shared evaluations.

Attributes

baseline_fx_rates	Return baseline reference-per-local FX rates.
baseline_quotes	Return current local quotes.
factor_log_shocks	Return resolved factor log shocks.
fx_rates	Return scenario reference-per-local FX rates.
fx_response_jacobian	Return log-FX sensitivities to shared log responses.
quote_currencies	Return each actual quote's currency.
quote_response_jacobian	Return local log-quote sensitivities to shared log responses.
quotes	Return local scenario quotes.
reference_currency	Return the portfolio reference currency.
response_log_shocks	Return shared fitted response log returns.

property quote_currencies: Series

Return each actual quote’s currency.

property response_log_shocks: DataFrame

Return shared fitted response log returns.

property quotes: DataFrame

Return local scenario quotes.

property baseline_quotes: Series

Return current local quotes.

property fx_rates: DataFrame

Return scenario reference-per-local FX rates.

property baseline_fx_rates: Series

Return baseline reference-per-local FX rates.

property factor_log_shocks: DataFrame

Return resolved factor log shocks.

property quote_response_jacobian: DataFrame

Return local log-quote sensitivities to shared log responses.

property fx_response_jacobian: DataFrame

Return log-FX sensitivities to shared log responses.

property reference_currency: str

Return the portfolio reference currency.