VolsurfaceBasedGroup

class sigtech.framework.instruments.option_groups.VolsurfaceBasedGroup

Baseclasses: ContractGroup

Subclasses: OTCOptionGroup, SwaptionGroupBase

A class representing vol surface based groups.

property available_data_points

Data points available for this instrument.

property default_data_point

Default data points for this instrument.

get_option_group_dependencies(t: time, tz: tzinfo, valuation_currency: str, start_dt: datetime, end_dt: datetime, greek_calculation_dependencies: bool = False) → list[sigtech.framework.internal.infra.mu.graph.registry.factory.Dependency]

Dependencies at the option group level

get_vol_surface()

Object referenced by the vol surface name of the group.

get_vol_surface_series(data_dates, data_point=None)

Vol surface timeseries.

Parameters:

• data_dates – List of dates.

• data_point – Data point (optional).

Returns:

Vol surface timeseries.