> ## Documentation Index > Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt > Use this file to discover all available pages before exploring further. # Build bond yield curves from prices. > Use this operation to fit issuer yield curves to non-empty dated bond-price observations using available bond reference data and the requested market-data overrides. Prices use each bond's configured quotation convention and currency. By default, bonds are grouped by issuer, currency, and debt type; `IndividualCurvePerBondFlag` creates one curve per bond. `UseBestEffort` defaults to false and permits supported bonds to proceed when other identifiers are unknown. Per-date fit errors can accompany curves returned for successful groups, and the operation waits for all requested fits before responding. ## OpenAPI ````yaml /risk-and-pricing/atoti-risk-services/apis-endpoints/openapi/openapi.mintlify.json post /api/MarketData/FitBondYieldCurvesToBondData openapi: 3.0.4 info: title: Derivitec Api 1.0 version: '1.0' servers: - url: https://api.riskportal.activeviam.com security: - oauth2: [] - apikey: [] tags: - name: AdminUser - name: AtotiReport - name: AtotiSession - name: BloombergOAuth - name: Bond - name: BondYieldCurvePage - name: BookAccess - name: Books - name: Commodity - name: Counterparties - name: Currencies - name: Equity - name: EquityDividend - name: EquityPage - name: FeatureFlag - name: Fx - name: FxPage - name: GroupAccess - name: Home - name: LegacyPosition - name: MarketData - name: MarketDataProvider - name: MarketDataProviderAccess - name: Meta - name: Notification - name: Organisation - name: PnLReport - name: PortfolioAccess - name: Portfolios - name: Position - name: PositionFilter - name: PricingEnvironment - name: PricingEnvironmentAccess - name: RateAsset - name: RateAssetPage - name: Report - name: ReportDefinition - name: ReportHistoryLauncherQuery - name: ReportLauncher - name: ReportQuery - name: ReportQueryViewUser - name: ReportRestriction - name: ReportView - name: RiskReport - name: Tradable - name: TradeBooking - name: User - name: VarReport - name: VarReportQuery - name: YieldCurvePage paths: /api/MarketData/FitBondYieldCurvesToBondData: post: tags: - MarketData summary: Build bond yield curves from prices. description: >- Use this operation to fit issuer yield curves to non-empty dated bond-price observations using available bond reference data and the requested market-data overrides. Prices use each bond's configured quotation convention and currency. By default, bonds are grouped by issuer, currency, and debt type; `IndividualCurvePerBondFlag` creates one curve per bond. `UseBestEffort` defaults to false and permits supported bonds to proceed when other identifiers are unknown. Per-date fit errors can accompany curves returned for successful groups, and the operation waits for all requested fits before responding. operationId: FitBondYieldCurvesToBondData requestBody: description: >- The fitting payload. `Data` must be non-empty and supplies bond identifiers, date-only market dates, currencies, prices, quotation flags, and fitting modes. Provider/environment scope selects the primary market data, `MarketDataOverride` supplies optional scenario inputs, and `PricingModelManager` optionally overrides organisation model settings. content: application/json-patch+json: schema: $ref: '#/components/schemas/ApiFitBondYieldCurvesToBondDataRequest' application/json: schema: $ref: '#/components/schemas/ApiFitBondYieldCurvesToBondDataRequest' text/json: schema: $ref: '#/components/schemas/ApiFitBondYieldCurvesToBondDataRequest' application/*+json: schema: $ref: '#/components/schemas/ApiFitBondYieldCurvesToBondDataRequest' responses: '200': description: >- Returns fitted bond yield curves and errors for invalid provider scope, unsupported bonds or overrides, missing prerequisite market data, or failed issuer/date fits. content: application/json: schema: $ref: '#/components/schemas/ApiFitBondYieldCurvesToBondDataResponse' '400': description: BadRequest '401': description: Unauthorized '403': description: Forbidden security: - oauth2: [] - apikey: [] components: schemas: ApiFitBondYieldCurvesToBondDataRequest: required: - $type type: object properties: market_data_environment_name: type: string description: >- Name of the market-data environment to use. Supply either this name or `provider_id`, not both. nullable: true example: Example market data provider_id: type: string description: >- Opaque identifier of the market-data provider to use. Supply either this identifier or `market_data_environment_name`, not both. nullable: true data: type: array items: $ref: '#/components/schemas/BondDataExternal' description: Bond-price inputs used to fit the issuer curves. nullable: true market_data_override: $ref: '#/components/schemas/MarketDataOverride' pricing_model_manager: $ref: '#/components/schemas/IPricingModelManager' use_best_effort: type: boolean description: >- Requests independent handling of input records when one cannot be processed; defaults to `false`. individual_curve_per_bond_flag: type: boolean description: >- Whether each bond receives a separate fitted curve; defaults to `false`. $type: type: string enum: - >- Derivitec.Web.Core.MarketData.ApiFitBondYieldCurvesToBondDataRequest, Derivitec.Web.Core additionalProperties: false description: Requests issuer bond-yield curves fitted to supplied bond-price inputs. ApiFitBondYieldCurvesToBondDataResponse: required: - $type type: object properties: is_success: type: boolean description: >- Whether the operation completed successfully. The default is `true`; error outcomes set it to `false`. example: true error_messages: type: array items: type: string description: >- Messages explaining operation-level failures. The collection is empty by default. nullable: true bond_yield_curves: type: array items: $ref: '#/components/schemas/BondYieldCurve' description: Fitted bond yield curves. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.ApiFitBondYieldCurvesToBondDataResponse, Derivitec.Web.Core additionalProperties: false description: Returns issuer bond-yield curves fitted from the supplied bond prices. BondDataExternal: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false bond_identifier: $ref: '#/components/schemas/InstrumentIdentifier' currency: type: string description: Currency of the submitted bond price. nullable: true traded_price: type: number description: >- Submitted bond price interpreted using the bond's reference quotation convention and IsPercentageOfPar. format: double date: type: string description: Observation date. format: date-time is_percentage_of_par: type: boolean description: >- Whether TradedPrice uses percentage-of-par quotation; this value must match the bond's reference quotation convention. is_currency_per_bond_unit: type: boolean description: >- Legacy compatibility field with no observable effect in the public bond-price operations. fitting_mode: enum: - fit_credit_spread - fit_vol_surface type: string description: >- Whether the price is used to fit credit-spread or volatility-surface data; defaults to FitCreditSpread. $type: type: string enum: - Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core additionalProperties: false description: >- Dated bond-price input whose IsPercentageOfPar value must match the bond's reference quotation convention. MarketDataOverride: required: - $type type: object properties: bond_prices: type: array items: $ref: '#/components/schemas/BondDataExternal' description: Replacement bond observations supplied to the calculation. nullable: true bond_yield_curve_overrides: type: array items: $ref: '#/components/schemas/BondYieldCurveOverride' description: Replacement bond yield curves supplied by currency. nullable: true discount_curve_overrides: type: array items: $ref: '#/components/schemas/DiscountCurveOverride' description: Replacement discount curves supplied by currency. nullable: true discount_curve_fitting_overrides: type: array items: $ref: '#/components/schemas/CurveFittingOverride' description: Replacement discount-curve fitting inputs supplied by currency. nullable: true index_curve_overrides: type: array items: $ref: '#/components/schemas/DiscountCurveOverride' description: Replacement index curves supplied by rate-asset code. nullable: true index_curve_fitting_overrides: type: array items: $ref: '#/components/schemas/CurveFittingOverride' description: Replacement index-curve fitting inputs supplied by rate-asset code. nullable: true equity_spot_overrides: type: array items: $ref: '#/components/schemas/InstrumentIdentifierDoubleKeyValuePair' description: >- Replacement equity spot values paired with qualified equity identifiers. Pricing-detail requests require each supplied value to be positive. nullable: true equity_vol_grid_overrides: type: array items: $ref: '#/components/schemas/EquityVolGrid' description: Replacement equity volatility grids supplied to the calculation. nullable: true equity_vol_surface_overrides: type: array items: $ref: '#/components/schemas/EquityVolSurface' description: Replacement equity volatility surfaces supplied to the calculation. nullable: true equity_vol_of_var_curve_overrides: type: array items: $ref: '#/components/schemas/EquityVolOfVarCurve' description: >- Request-scoped replacement volatility-of-variance curves for qualified equity/index identifiers. Null or empty leaves stored marks unchanged. Each curve replaces the complete curve on its reference date, taking precedence over provider fallback without uploading data. Only curves matching the calculation pricing/as-of date apply; other reference dates are ignored. Maturities must be positive, strictly increasing calendar-day counts with matching finite, non-negative decimal volatilities. Zero volatility removes the volatility-of-variance convexity adjustment. Duplicate underlying/date pairs and unsupported identifiers fail conversion. ProviderId is metadata, not an environment selector. nullable: true equity_vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: >- Spot-response model selected for replacement equity volatility surfaces. Defaults to sticky_strike. borrow_curve_overrides: type: array items: $ref: '#/components/schemas/BorrowCurveOverride' description: Replacement equity borrow curves supplied to the calculation. nullable: true dividends_overrides: type: array items: $ref: '#/components/schemas/DividendsOverride' description: Replacement dividend curves supplied to the calculation. nullable: true cmdty_spot_overrides: type: array items: $ref: '#/components/schemas/StringDoubleKeyValuePair' description: Replacement commodity spot values supplied by commodity-code prefix. nullable: true fx_spot_currency: type: string description: >- Three-character common currency in which all FX spot overrides are expressed; required when overrides are supplied. nullable: true fx_spot_overrides_by_currency: type: array items: $ref: '#/components/schemas/StringDoubleKeyValuePair' description: >- FX spot values keyed by distinct three-character currencies and expressed against FxSpotCurrency. nullable: true andersen_buffum_parameters_overrides: type: array items: $ref: '#/components/schemas/AndersenBuffumParameters' description: >- Replacement Andersen-Buffum parameter sets supplied to the calculation. nullable: true recovery_rate_overrides: type: array items: $ref: '#/components/schemas/InstrumentIdentifierDoubleKeyValuePair' description: >- Replacement recovery-rate values paired with qualified instrument identifiers. nullable: true equity_fx_correlation_overrides: type: array items: $ref: '#/components/schemas/EquityFxCorrelationData' description: Replacement equity-to-FX correlations supplied to the calculation. nullable: true equity_equity_correlation_overrides: type: array items: $ref: '#/components/schemas/EquityEquityCorrelationData' description: >- Replacement equity-to-equity correlations supplied to the calculation. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.MarketDataOverride, Derivitec.Web.Core additionalProperties: false description: >- Optional market-data substitutions supplied with pricing, risk, or report calculations. IPricingModelManager: description: Pricing-model configuration role accepted by calculation requests. discriminator: propertyName: $type mapping: Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core: '#/components/schemas/IPricingModelManagerMintlifyShape' Derivitec.Web.Core.Tradables.PricingModelManager, Derivitec.Web.Core: '#/components/schemas/PricingModelManager' oneOf: - $ref: '#/components/schemas/IPricingModelManagerMintlifyShape' - $ref: '#/components/schemas/PricingModelManager' BondYieldCurve: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false currency: type: string description: Currency dimension of the issuer curve. nullable: true seniority: enum: - senior - super_senior - other - subordinated - junior_subordinated - preference_shares - senior_loss_absorbing type: string description: Contract or debt seniority classification. discount_factors: type: array items: type: number format: double description: Dimensionless curve factors paired by index with Maturities. nullable: true extrapolate: type: boolean description: >- Whether the curve may be evaluated beyond its supplied maturities; initialized to true. issuer_id: type: string description: Issuer selector. nullable: true issuer_identifier: $ref: '#/components/schemas/IssuerIdentifier' maturities: type: array items: type: integer format: int32 description: >- Maturities expressed as day offsets and paired by index with DiscountFactors. nullable: true reference_bond_yield_curve: $ref: '#/components/schemas/BondYieldCurve' reference_date: type: string description: Date to which the data applies. format: date-time bond_identifier: $ref: '#/components/schemas/InstrumentIdentifier' $type: type: string enum: - Derivitec.Web.Core.MarketData.BondYieldCurve, Derivitec.Web.Core additionalProperties: false description: >- Issuer bond curve represented by day-offset maturities and dimensionless discount factors, with optional reference-curve linkage. InstrumentIdentifier: description: >- Instrument code qualified by an identifier namespace and optional market code. discriminator: propertyName: $type mapping: Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core: '#/components/schemas/InstrumentIdentifierMintlifyShape' Derivitec.Web.Core.MarketData.InstrumentInfo, Derivitec.Web.Core: '#/components/schemas/InstrumentInfo' oneOf: - $ref: '#/components/schemas/InstrumentIdentifierMintlifyShape' - $ref: '#/components/schemas/InstrumentInfo' BondYieldCurveOverride: required: - $type type: object properties: currency: type: string description: >- Exactly three characters identifying the replacement curve's currency. nullable: true discount_factors: type: array items: type: number format: double description: Nonempty dimensionless factors aligned one-for-one with Maturities. nullable: true maturities: type: array items: type: integer format: int32 description: >- Nonempty distinct day-offset maturities aligned one-for-one with DiscountFactors. nullable: true bond_issuer: type: string description: Issuer selected for the replacement curve. nullable: true debt_type: type: string description: >- Debt seniority or debt-type classification used to distinguish issuer curves. nullable: true bond_identifier: $ref: '#/components/schemas/InstrumentIdentifier' reference_curve_name: type: string description: >- Name of the curve supplying the reference coordinates. It is required when reference coordinates are supplied, cannot contain underscores, and is initialized to a generated unique value when omitted. nullable: true reference_curve_discount_factors: type: array items: type: number format: double description: >- Nonempty dimensionless reference-curve factors aligned one-for-one with ReferenceCurveMaturities. nullable: true reference_curve_maturities: type: array items: type: integer format: int32 description: >- Nonempty distinct reference-curve maturities as day offsets, aligned one-for-one with ReferenceCurveDiscountFactors. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.BondYieldCurveOverride, Derivitec.Web.Core additionalProperties: false description: >- Replacement issuer-curve input requiring either a bond issuer or bond identifier and a complete primary or reference curve coordinate set. DiscountCurveOverride: required: - $type type: object properties: currency: type: string description: >- Exactly three characters identifying the replacement curve's currency. nullable: true discount_factors: type: array items: type: number format: double description: Nonempty dimensionless factors aligned one-for-one with Maturities. nullable: true maturities: type: array items: type: integer format: int32 description: >- Nonempty distinct day-offset maturities aligned one-for-one with DiscountFactors. nullable: true curve_name: type: string description: Name distinguishing the curve within its currency. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.DiscountCurveOverride, Derivitec.Web.Core additionalProperties: false description: Named replacement discount curve. CurveFittingOverride: required: - $type type: object properties: currency: type: string description: Three-character currency code of the curve being fitted. nullable: true curve_name: type: string description: Name distinguishing the curve within its currency. nullable: true provider_id: type: string description: Data-provider selector. nullable: true instrument_set: type: array items: $ref: '#/components/schemas/InstrumentIdentifier' description: Replacement instruments used for curve fitting. nullable: true instrument_quotes: type: array items: $ref: '#/components/schemas/InstrumentIdentifierDoubleKeyValuePair' description: Replacement quotes used for curve fitting. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.CurveFittingOverride, Derivitec.Web.Core additionalProperties: false description: >- Overrides the provider, instrument set, and quotes used when fitting a named currency curve. InstrumentIdentifierDoubleKeyValuePair: type: object properties: key: $ref: '#/components/schemas/InstrumentIdentifier' value: type: number format: double additionalProperties: false EquityVolGrid: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false maturities: type: array items: type: integer format: int32 description: >- Maturity offsets from ReferenceDate, in calendar days, corresponding by position to the volatility rows. nullable: true reference_date: type: string description: Reference date of the volatility grid. format: date-time strikes: type: array items: type: array items: type: number format: double description: >- One strike row shared by all maturities, or one row per maturity; each row aligns with the corresponding volatility row. nullable: true strike_type: enum: - absolute - percent_spot - percent_forward type: string description: Coordinate convention used by the strike rows. Defaults to absolute. vols: type: array items: type: array items: type: number format: double description: >- Rows of positive volatility values as decimals; 0.20 means 20%. Rows match the strike-row shape and correspond by position to maturities. nullable: true use_spline: type: boolean description: Whether the grid is marked for spline use. example: false spot_ref: type: number description: Optional spot reference carried by the volatility grid. format: double nullable: true asset_id: $ref: '#/components/schemas/InstrumentIdentifier' $type: type: string enum: - Derivitec.Web.Core.MarketData.EquityVolGrid, Derivitec.Web.Core additionalProperties: false description: Equity volatility grid identified by its equity asset. EquityVolSurface: description: >- Equity volatility surface with benchmark coordinates and a spot reference. discriminator: propertyName: $type mapping: Derivitec.Web.Core.MarketData.EquityVolSurface, Derivitec.Web.Core: '#/components/schemas/EquityVolSurfaceMintlifyShape' Derivitec.Web.Core.MarketData.EquityVolSurfaceSpline, Derivitec.Web.Core: '#/components/schemas/EquityVolSurfaceSpline' Derivitec.Web.Core.MarketData.EquityVolSurfaceSvi, Derivitec.Web.Core: '#/components/schemas/EquityVolSurfaceSvi' oneOf: - $ref: '#/components/schemas/EquityVolSurfaceMintlifyShape' - $ref: '#/components/schemas/EquityVolSurfaceSpline' - $ref: '#/components/schemas/EquityVolSurfaceSvi' EquityVolOfVarCurve: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false maturities: type: array items: type: integer format: int32 description: >- Strictly increasing maturity offsets from ReferenceDate, in calendar days, corresponding by position to the volatility values. nullable: true reference_date: type: string description: Reference date of the volatility curve. format: date-time vols: type: array items: type: number format: double description: >- Volatility values as decimals; 0.20 means 20%. Values correspond by position to maturities. nullable: true spot_ref: type: number description: Optional spot reference carried by the volatility curve. format: double nullable: true eq_vol_of_var_index_id: $ref: '#/components/schemas/InstrumentIdentifier' $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolOfVarCurve, Derivitec.Web.Core additionalProperties: false description: >- Volatility-of-variance curve for an identified equity volatility-of-variance index. BorrowCurveOverride: required: - $type type: object properties: currency: type: string description: >- Exactly three characters identifying the replacement curve's currency. nullable: true discount_factors: type: array items: type: number format: double description: Nonempty dimensionless factors aligned one-for-one with Maturities. nullable: true maturities: type: array items: type: integer format: int32 description: >- Nonempty distinct day-offset maturities aligned one-for-one with DiscountFactors. nullable: true asset_identifier: $ref: '#/components/schemas/InstrumentIdentifier' $type: type: string enum: - >- Derivitec.Web.Core.MarketData.BorrowCurveOverride, Derivitec.Web.Core additionalProperties: false description: Replacement borrow-curve input for one asset. DividendsOverride: required: - $type type: object properties: asset_identifier: $ref: '#/components/schemas/InstrumentIdentifier' dividends: $ref: '#/components/schemas/Dividends' dividend_yields: type: array items: $ref: '#/components/schemas/Int32DoubleKeyValuePair' description: >- Continuously compounded dividend-yield adjustments applied independently of any explicit dividends. nullable: true use_forward_dividend_yields: type: boolean description: >- Whether DividendYields are interpreted as forward rather than zero rates; defaults to `true`. $type: type: string enum: - >- Derivitec.Web.Core.MarketData.DividendsOverride, Derivitec.Web.Core additionalProperties: false description: >- Projected-dividend schedule and/or continuously compounded dividend-yield adjustments for one asset. StringDoubleKeyValuePair: type: object properties: key: type: string nullable: true value: type: number format: double additionalProperties: false AndersenBuffumParameters: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false andersen_buffum_alpha: type: number description: Alpha input of the Andersen–Buffum representation. format: double andersen_buffum_benchmark_spot: type: number description: Benchmark spot input of the Andersen–Buffum representation. format: double asset_name: $ref: '#/components/schemas/InstrumentIdentifier' reference_date: type: string description: Date to which the data applies. format: date-time $type: type: string enum: - >- Derivitec.Web.Core.MarketData.AndersenBuffumParameters, Derivitec.Web.Core additionalProperties: false description: >- Andersen–Buffum equity-volatility representation inputs at a reference date. EquityFxCorrelationData: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false correlation: type: number description: >- Unitless correlation between the two selected instruments, in the range -1 to 1. format: double date: type: string description: Observation date. format: date-time equity_identifier: $ref: '#/components/schemas/InstrumentIdentifier' currency: type: string description: >- Currency used with the equity's listing currency to select the FX cross. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityFxCorrelationData, Derivitec.Web.Core additionalProperties: false description: >- Dated correlation between an identified equity and a currency-derived FX cross. EquityEquityCorrelationData: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false correlation: type: number description: >- Unitless correlation between the two selected instruments, in the range -1 to 1. format: double date: type: string description: Observation date. format: date-time asset1_identifier: $ref: '#/components/schemas/InstrumentIdentifier' asset2_identifier: $ref: '#/components/schemas/InstrumentIdentifier' $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityEquityCorrelationData, Derivitec.Web.Core additionalProperties: false description: Dated correlation between two identified equities. IPricingModelManagerMintlifyShape: required: - $type type: object additionalProperties: false description: Pricing-model configuration role accepted by calculation requests. properties: $type: type: string enum: - >- Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core PricingModelManager: required: - $type type: object properties: ascot_model_params: $ref: '#/components/schemas/AscotModelParams' convertible_bond_model_params: $ref: '#/components/schemas/ConvertibleBondModelParams' eq_best_of_option_model_params: $ref: '#/components/schemas/EqBestOfOptionModelParams' eq_basket_option_model_params: $ref: '#/components/schemas/EqBasketOptionModelParams' fx_basket_option_model_params: $ref: '#/components/schemas/FxBasketOptionModelParams' fx_barrier_ma_model_params: $ref: '#/components/schemas/FxBarrierMAModelParams' eq_barrier_ma_model_params: $ref: '#/components/schemas/EqBarrierMAModelParams' eq_barrier_model_params: $ref: '#/components/schemas/EqBarrierModelParams' eq_autocallable_worst_of_option_model_params: $ref: '#/components/schemas/EqAutocallableWorstOfOptionModelParams' eq_corridor_variance_swap_model_params: $ref: '#/components/schemas/EqCorridorVarianceSwapModelParams' eq_conditional_corridor_variance_swap_model_params: $ref: '#/components/schemas/EqConditionalCorridorVarianceSwapModelParams' eq_option_american_model_params: $ref: '#/components/schemas/EqOptionAmericanModelParams' eq_option_model_params: $ref: '#/components/schemas/EqOptionModelParams' eq_fva_model_params: $ref: '#/components/schemas/EqFVAModelParams' eq_fva_swaption_model_params: $ref: '#/components/schemas/EqFVASwaptionModelParams' fx_fva_model_params: $ref: '#/components/schemas/FxFVAModelParams' eq_outperformance_option_model_params: $ref: '#/components/schemas/EqOutperformanceOptionModelParams' fx_double_knockout_digital_ma_model_params: $ref: '#/components/schemas/FxDoubleKnockoutDigitalMAModelParams' eq_swap_model_params: $ref: '#/components/schemas/EqSwapModelParams' eq_variance_swap_model_params: $ref: '#/components/schemas/EqVarianceSwapModelParams' eq_volatility_swap_model_params: $ref: '#/components/schemas/EqVolatilitySwapModelParams' eq_volatility_knockout_option_model_params: $ref: '#/components/schemas/EqVolatilityKnockoutOptionModelParams' fx_option_model_params: $ref: '#/components/schemas/FxOptionModelParams' fx_option_american_model_params: $ref: '#/components/schemas/FxOptionAmericanModelParams' fx_variance_swap_model_params: $ref: '#/components/schemas/FxVarianceSwapModelParams' fx_option_on_realised_volatility_model_params: $ref: '#/components/schemas/FxOptionOnRealisedVolatilityModelParams' fx_volatility_swap_model_params: $ref: '#/components/schemas/FxVolatilitySwapModelParams' future_model_params: $ref: '#/components/schemas/FutureModelParams' eq_correlation_swap_model_params: $ref: '#/components/schemas/EqCorrelationSwapModelParams' fx_correlation_swap_model_params: $ref: '#/components/schemas/FxCorrelationSwapModelParams' eq_corridor_volatility_swap_model_params: $ref: '#/components/schemas/EqCorridorVolatilitySwapModelParams' eq_geometric_variance_swap_model_params: $ref: '#/components/schemas/EqGeometricVarianceSwapModelParams' ir_swaption_model_params: $ref: '#/components/schemas/IrSwaptionModelParams' bond_option_model_params: $ref: '#/components/schemas/OptionModelParams' cmdty_option_model_params: $ref: '#/components/schemas/OptionModelParams' ir_option_model_params: $ref: '#/components/schemas/OptionModelParams' ir_cap_floor_model_params: $ref: '#/components/schemas/IrCapFloorModelParams' $type: type: string enum: - >- Derivitec.Web.Core.Tradables.PricingModelManager, Derivitec.Web.Core additionalProperties: false IssuerIdentifier: required: - $type type: object properties: code: type: string description: Issuer code interpreted in the selected issuer namespace. nullable: true identifier_type: enum: - DerivitecBondIssuerId - ReutersOrgId - ShortName - Lei - RedCode - MarkitTicker - ReutersIssuerId - CBondsIssuerId - PermId - BloombergCompanyId - NotSet type: string description: Namespace that determines how the issuer code is interpreted. $type: type: string enum: - Derivitec.Web.Core.MarketData.IssuerIdentifier, Derivitec.Web.Core additionalProperties: false description: Issuer code qualified by an issuer-identifier namespace. InstrumentIdentifierMintlifyShape: required: - $type type: object properties: code: type: string description: Instrument code interpreted in the selected identifier namespace. nullable: true identifier_type: enum: - Derivitec - Ric - Bloomberg - Isin - Figi - Sedol - RedCode - RedPairCode - BloombergYellow - XIgniteCode - CBondsId - EdiSecId - EdiSymbol - Cusip - NotSet type: string description: Namespace that determines how the instrument code is interpreted. market_identification_code: type: string description: >- Optional market identification code that further qualifies the instrument code. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core additionalProperties: false description: >- Instrument code qualified by an identifier namespace and optional market code. InstrumentInfo: required: - $type type: object properties: code: type: string description: Instrument code interpreted in the selected identifier namespace. nullable: true identifier_type: enum: - Derivitec - Ric - Bloomberg - Isin - Figi - Sedol - RedCode - RedPairCode - BloombergYellow - XIgniteCode - CBondsId - EdiSecId - EdiSymbol - Cusip - NotSet type: string description: Namespace that determines how the instrument code is interpreted. market_identification_code: type: string description: >- Optional market identification code that further qualifies the instrument code. nullable: true name: type: string description: Human-readable name of the identified instrument. nullable: true $type: type: string enum: - Derivitec.Web.Core.MarketData.InstrumentInfo, Derivitec.Web.Core additionalProperties: false description: Instrument identifier with a human-readable instrument name. EquityVolSurfaceMintlifyShape: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false asset_name: $ref: '#/components/schemas/InstrumentIdentifier' benchmark_fwd_factors: type: array items: type: number format: double description: >- Benchmark forward-factor values, one corresponding by position to each benchmark maturity. nullable: true benchmark_maturities: type: array items: type: integer format: int32 description: >- Distinct benchmark maturity offsets from ReferenceDate, in calendar days. nullable: true reference_date: type: string description: Reference date of the equity volatility surface. format: date-time spot_ref: type: number description: Spot reference carried by the equity volatility surface. format: double $type: type: string enum: - Derivitec.Web.Core.MarketData.EquityVolSurface, Derivitec.Web.Core additionalProperties: false description: >- Equity volatility surface with benchmark coordinates and a spot reference. EquityVolSurfaceSpline: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false asset_name: $ref: '#/components/schemas/InstrumentIdentifier' benchmark_fwd_factors: type: array items: type: number format: double description: >- Benchmark forward-factor values, one corresponding by position to each benchmark maturity. nullable: true benchmark_maturities: type: array items: type: integer format: int32 description: >- Distinct benchmark maturity offsets from ReferenceDate, in calendar days. nullable: true reference_date: type: string description: Reference date of the equity volatility surface. format: date-time spot_ref: type: number description: Spot reference carried by the equity volatility surface. format: double var_grid: type: array items: type: array items: type: number format: double description: The volatility grid (one vector per maturity) nullable: true strike_grid: type: array items: type: array items: type: number format: double description: The strike grid (one vector per maturity) nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolSurfaceSpline, Derivitec.Web.Core additionalProperties: false description: The equity vol surface. EquityVolSurfaceSvi: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false asset_name: $ref: '#/components/schemas/InstrumentIdentifier' benchmark_fwd_factors: type: array items: type: number format: double description: >- Benchmark forward-factor values, one corresponding by position to each benchmark maturity. nullable: true benchmark_maturities: type: array items: type: integer format: int32 description: >- Distinct benchmark maturity offsets from ReferenceDate, in calendar days. nullable: true reference_date: type: string description: Reference date of the equity volatility surface. format: date-time spot_ref: type: number description: Spot reference carried by the equity volatility surface. format: double call_wings: type: array items: type: number format: double description: >- Non-negative call-wing parameter values, one corresponding by position to each benchmark maturity. nullable: true put_wings: type: array items: type: number format: double description: >- Non-negative put-wing parameter values, one corresponding by position to each benchmark maturity. nullable: true skews: type: array items: type: number format: double description: >- Skew parameter values, one corresponding by position to each benchmark maturity. nullable: true smiles: type: array items: type: number format: double description: >- Smile parameter values, one corresponding by position to each benchmark maturity. nullable: true vols: type: array items: type: number format: double description: >- Volatility values expressed as decimals, where 0.20 means 20%, with one value corresponding by position to each benchmark maturity. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolSurfaceSvi, Derivitec.Web.Core additionalProperties: false description: >- Equity volatility surface carrying wing, skew, smile, and volatility parameter sequences. Dividends: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false all_in_rates: type: array items: type: number format: double description: All-in rates aligned by index with ExDates. nullable: true asset_ids: type: array items: $ref: '#/components/schemas/InstrumentIdentifier' description: >- Asset identifiers aligned by index with ExDates; reconstruction supplies empty identifiers only when this collection is empty. nullable: true cash_divs: type: array items: type: number format: double description: Cash-dividend inputs aligned by index with ExDates. nullable: true confirmed_flags: type: array items: type: boolean description: Confirmation flags aligned by index with ExDates. nullable: true currencies: type: array items: type: string description: Currencies aligned by index with ExDates. nullable: true declared_dates: type: array items: type: string format: date-time description: Declaration dates aligned by index with ExDates. nullable: true div_types: type: array items: enum: - Regular - Extraordinary - Scrip type: string description: Classifies a dividend as regular, extraordinary, or scrip. description: Dividend classifications aligned by index with ExDates. nullable: true div_yields: type: array items: type: number format: double description: Dividend-yield inputs aligned by index with ExDates. nullable: true ex_dates: type: array items: type: string format: date-time description: >- Ex-dividend dates; their indexes define the rows reconstructed from the parallel collections. nullable: true pay_dates: type: array items: type: string format: date-time description: Payment dates aligned by index with ExDates. nullable: true record_dates: type: array items: type: string format: date-time description: Record dates aligned by index with ExDates. nullable: true withholding_tax_rates: type: array items: type: number format: double description: >- Withholding-tax rates aligned by index with ExDates; reconstruction supplies zero rates only when this collection is empty. nullable: true reference_date: type: string description: Date to which this projected-dividend set applies. format: date-time $type: type: string enum: - Derivitec.Web.Core.MarketData.Dividends, Derivitec.Web.Core additionalProperties: false description: >- Columnar projected-dividend data whose per-dividend collections are consumed at matching indexes. Int32DoubleKeyValuePair: type: object properties: key: type: integer format: int32 value: type: number format: double additionalProperties: false AscotModelParams: required: - $type type: object properties: intrinsic_pricing: type: boolean description: Gets or sets the intrinsic pricing flag. grid_factor: type: integer description: Gets or sets the grid factor. format: int32 log_spot_step_size: type: number description: Gets or sets the size of the log spot step. format: double max_log_spot: type: integer description: Gets or sets the maximum log spot. format: int32 min_log_spot: type: integer description: Gets or sets the minimum log spot. format: int32 min_number_of_spot_points: type: integer description: Gets or sets the min number of spot points. format: int32 min_number_time_steps: type: integer description: Gets or sets the min number time steps. format: int32 recovery_is_fraction_of_price: type: boolean description: >- If true, the recovery value is a fraction of the bond price at the time of default; otherwise it is a fraction of par. time_step_size: type: integer description: Gets or sets the size of the time step. format: int32 use_effective_soft_call_trigger: type: boolean description: >- If true the 20 out of 30 condition is priced using an effective trigger determined by MC simulation effective_soft_call_trigger_num_mc_paths: type: integer description: >- Gets or sets the number of MC paths used to determine the effective soft call trigger. format: int32 $type: type: string enum: - Derivitec.Web.Core.Tradables.AscotModelParams, Derivitec.Web.Core additionalProperties: false description: Class AscotModelParams. ConvertibleBondModelParams: required: - $type type: object properties: grid_factor: type: integer description: Gets or sets the grid factor. format: int32 log_spot_step_size: type: number description: Gets or sets the size of the log spot step. format: double loss_given_default: type: number description: Gets or sets the loss given default. format: double max_log_spot: type: integer description: Gets or sets the maximum log spot. format: int32 min_log_spot: type: integer description: Gets or sets the minimum log spot. format: int32 min_number_of_spot_points: type: integer description: Gets or sets the min number of spot points. format: int32 min_number_time_steps: type: integer description: Gets or sets the min number time steps. format: int32 recovery_is_fraction_of_price: type: boolean description: >- If true, the recovery value is a fraction of the bond price at the time of default; otherwise it is a fraction of par. time_step_size: type: integer description: Gets or sets the size of the time step. format: int32 use_andersen_buffum_model: type: boolean description: Gets or sets a value indicating whether use andersen buffum model. use_effective_soft_call_trigger: type: boolean description: >- If true the 20 out of 30 condition is priced using an effective trigger determined by MC simulation effective_soft_call_trigger_num_mc_paths: type: integer description: >- Gets or sets the number of MC paths used to determine the effective soft call trigger. format: int32 parity_calculation_ignore_inactive_conversion: type: boolean description: >- Gets or sets a value indicating whether to ignore inactive conversion when computing parity $type: type: string enum: - >- Derivitec.Web.Core.Tradables.ConvertibleBondModelParams, Derivitec.Web.Core additionalProperties: false description: Class ConvertibleBondModelParams. EqBestOfOptionModelParams: required: - $type type: object properties: pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. factor_id: type: string description: Gets or sets the factor id. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqBestOfOptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqBestOfOptionModelParamsDto EqBasketOptionModelParams: required: - $type type: object properties: pricing_method: enum: - black_scholes - monte_carlo - not_set type: string description: Gets or sets the pricing method. use_contract_traded_price: type: boolean description: >- If true we use the traded price stamped on the contract (which is zero by default) If false the traded price is set to the current option premium when calling RebaseCashFlows. The NPV is then zero, as if the options contract had been entered at the current level num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqBasketOptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqBasketOptionModelParamsDto FxBasketOptionModelParams: required: - $type type: object properties: use_contract_traded_price: type: boolean description: >- If true we use the traded price stamped on the contract (which is zero by default) If false the traded price is set to the current option premium when calling RebaseCashFlows. The NPV is then zero, as if the options contract had been entered at the current level $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxBasketOptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class FxBasketOptionModelParamsDto FxBarrierMAModelParams: required: - $type type: object properties: min_mc_dim: type: integer description: get or set minMcDim format: int32 num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 use_control_variate: type: boolean description: get or set useControlVariate in mc store_simulations: type: boolean description: get or set storeSimulations in mc time_step_size: type: integer description: get or set TimeStepSize in pde format: int32 min_number_of_time_steps: type: integer description: get or set MinNumberOfTimeSteps in pde format: int32 min_log_spot: type: integer description: get or set MinLogSpot in pde format: int32 max_log_spot: type: integer description: get or set MaxLogSpot in pde format: int32 grid_factor: type: integer description: get or set GridFactor in pde format: int32 min_number_of_spot_points2f: type: integer description: get or set MinNumberOfSpotPoints2f in pde format: int32 min_number_of_spot_points3f: type: integer description: get or set MinNumberOfSpotPoints3f in pde format: int32 use_implied_correlations: type: boolean description: Gets or sets the use implied correlaitons flag correlation_lookforward_horizon: type: integer description: >- Gets or sets the lookforward horizon; if negative the lookforward horizon is defined from trade expiration date format: int32 correlation_min_lookforward_horizon: type: integer format: int32 correlation_lookback_window_start_date_rule: type: string description: >- Returns the correlation lookback window start date rule (used only for realised correlations) nullable: true readOnly: true correlation_modifier_stored: type: string description: >- Gets the stored modified (used when loading correlations from MongoDb). nullable: true readOnly: true correlation_observation_period: type: string description: >- Gets or sets the observation period (used only for realised correlations) nullable: true readOnly: true $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxBarrierMAModelParams, Derivitec.Web.Core additionalProperties: false EqBarrierMAModelParams: required: - $type type: object properties: min_mc_dim: type: integer description: get or set minMcDim format: int32 num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 use_control_variate: type: boolean description: get or set useControlVariate in mc store_simulations: type: boolean description: get or set storeSimulations in mc time_step_size: type: integer description: get or set TimeStepSize in pde format: int32 min_number_of_time_steps: type: integer description: get or set MinNumberOfTimeSteps in pde format: int32 min_log_spot: type: integer description: get or set MinLogSpot in pde format: int32 max_log_spot: type: integer description: get or set MaxLogSpot in pde format: int32 grid_factor: type: integer description: get or set GridFactor in pde format: int32 min_number_of_spot_points2f: type: integer description: get or set MinNumberOfSpotPoints2f in pde format: int32 min_number_of_spot_points3f: type: integer description: get or set MinNumberOfSpotPoints3f in pde format: int32 use_continous_dividend_treatment: type: boolean $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqBarrierMAModelParams, Derivitec.Web.Core additionalProperties: false EqBarrierModelParams: required: - $type type: object properties: time_step_size: type: integer format: int32 min_number_of_time_steps: type: integer format: int32 min_log_spot: type: integer format: int32 max_log_spot: type: integer format: int32 grid_factor: type: integer format: int32 min_number_of_spot_points: type: integer format: int32 use_continous_dividend_treatment: type: boolean $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqBarrierModelParams, Derivitec.Web.Core additionalProperties: false EqAutocallableWorstOfOptionModelParams: required: - $type type: object properties: pricing_method: enum: - monte_carlo - finite_difference type: string description: Gets or sets the pricing method. num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 time_step_size: type: integer format: int32 min_number_of_time_steps: type: integer format: int32 min_log_spot: type: integer format: int32 max_log_spot: type: integer format: int32 grid_factor: type: integer format: int32 min_number_of_spot_points: type: integer format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqAutocallableWorstOfOptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqAutocallableWorstOfOptionModelParamsDto EqCorridorVarianceSwapModelParams: required: - $type type: object properties: pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. todays_fixing_is_set: type: boolean description: Gets or sets a value indicating whether [todays fixing is set]. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqCorridorVarianceSwapModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqVolatilitySwapModelParamsDto. EqConditionalCorridorVarianceSwapModelParams: required: - $type type: object properties: todays_fixings_are_set: type: boolean description: Gets or sets a value indicating whether [todays fixing is set]. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqConditionalCorridorVarianceSwapModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqConditionalCorridorVarianceSwapModelParamsDto. EqOptionAmericanModelParams: required: - $type type: object properties: log_spot_step_size: type: number description: Gets or sets the size of the log spot step. format: double max_log_spot: type: number description: Gets or sets the maximum log spot. format: double min_log_spot: type: number description: Gets or sets the minimum log spot. format: double pricing_method: enum: - finite_difference type: string description: Gets or sets the pricing method. time_step_size: type: integer description: Gets or sets the size of the time step. format: int32 use_continuous_dividend_treatment: type: boolean description: Use continuous dividend treatment. min_number_of_spot_points: type: integer description: The minimum number of spot points format: int32 min_number_of_time_steps: type: integer description: The minimum number of time steps format: int32 grid_factor: type: integer description: The grid factor format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqOptionAmericanModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqOptionAmericanModelParams. EqOptionModelParams: required: - $type type: object properties: use_contract_traded_price: type: boolean description: >- If true we use the traded price stamped on the contract (which is zero by default) If false the traded price is set to the current option premium when calling RebaseCashFlows. The NPV is then zero, as if the options contract had been entered at the current level log_spot_step_size: type: number description: Gets or sets the size of the log spot step. format: double max_log_spot: type: number description: Gets or sets the maximum log spot. format: double min_log_spot: type: number description: Gets or sets the minimum log spot. format: double pricing_method: enum: - black_scholes - finite_difference type: string description: Gets or sets the pricing method. time_step_size: type: integer description: Gets or sets the size of the time step. format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqOptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqOptionModelParams. EqFVAModelParams: required: - $type type: object additionalProperties: false description: Class EqFVAModelParams. properties: pricing_method: enum: - black_scholes - static_replication - monte_carlo type: string description: Gets or sets the pricing method. grid_std_dev: type: number description: get or set grid std dev format: double log_spot_step_size: type: number description: get or set log spot size format: double min_log_spot: type: number description: get or set min log spot format: double max_log_spot: type: number description: get or set max log spot format: double pct_strike_step_size: type: number description: get or set pct strike step format: double min_pct_strike: type: number description: get or set min pct strike format: double max_pct_strike: type: number description: get or set max pct strike format: double num_simulations: type: integer description: get or set number of simulations format: int32 num_time_points: type: integer description: get or set number of time points format: int32 num_strike_points: type: integer description: get or set number of strike points format: int32 strike_std_dev: type: number description: get or set number of strike points format: double max_init_time_step: type: integer description: get or set time step format: int32 $type: type: string enum: - Derivitec.Web.Core.Tradables.EqFVAModelParams, Derivitec.Web.Core EqFVASwaptionModelParams: required: - $type type: object properties: time_step_size: type: integer description: Gets or sets the TimeStepSize. format: int32 min_number_time_steps: type: integer description: Gets or sets the MinNumberTimeSteps. format: int32 min_log_spot: type: integer description: Gets or sets the MinLogSpot. format: int32 max_log_spot: type: integer description: Gets or sets the MaxLogSpot. format: int32 grid_factor: type: integer description: Gets or sets the GridFactor. format: int32 min_number_of_spot_points: type: integer description: Gets or sets the MinNumberOfSpotPoints. format: int32 use_continous_dividend_treatment: type: boolean description: Gets or sets the UseContinousDividendTreatment. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqFVASwaptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqFVASwaptionModelParamsDto. FxFVAModelParams: required: - $type type: object additionalProperties: false description: Class FxFVAModelParams. properties: pricing_method: enum: - black_scholes - static_replication - monte_carlo type: string description: Gets or sets the pricing method. grid_std_dev: type: number description: get or set grid std dev format: double log_spot_step_size: type: number description: get or set log spot size format: double min_log_spot: type: number description: get or set min log spot format: double max_log_spot: type: number description: get or set max log spot format: double pct_strike_step_size: type: number description: get or set pct strike step format: double min_pct_strike: type: number description: get or set min pct strike format: double max_pct_strike: type: number description: get or set max pct strike format: double num_simulations: type: integer description: get or set number of simulations format: int32 num_time_points: type: integer description: get or set number of time points format: int32 num_strike_points: type: integer description: get or set number of strike points format: int32 strike_std_dev: type: number description: get or set number of strike points format: double max_init_time_step: type: integer description: get or set time step format: int32 $type: type: string enum: - Derivitec.Web.Core.Tradables.FxFVAModelParams, Derivitec.Web.Core EqOutperformanceOptionModelParams: required: - $type type: object properties: pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqOutperformanceOptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqOutperformanceOptionModelParamsDto FxDoubleKnockoutDigitalMAModelParams: required: - $type type: object properties: pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. factor_id: type: string description: Gets or sets the factor id. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxDoubleKnockoutDigitalMAModelParams, Derivitec.Web.Core additionalProperties: false description: Class FxDoubleKnockoutDigitalMAModelParamsDto EqSwapModelParams: required: - $type type: object properties: todays_fixing_is_set: type: boolean description: Gets or sets a value indicating whether today's fixing is set. valuation_excludes_historic_cash_flows: type: boolean description: >- Gets or sets a value indicating whether to exclude historic cashflows from the valuation. If set to false all cash flows from (and including) the next cashflow index (which is stored on the contract) are included rebase_fixing_dates: type: boolean description: >- If true we rebuild the fixing schedule to drop historical dates that do not impact the valuation anymore This is to ensure that all such swaps are aggregated together in risk reports Only has an effect if ValuationExcludesHistoricCashFlows is true $type: type: string enum: - Derivitec.Web.Core.Tradables.EqSwapModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqSwapModelParamsDto EqVarianceSwapModelParams: required: - $type type: object properties: log_spot_step_size: type: number description: Gets or sets the log spot step size. format: double log_spot_step_size_override_by_asset_id: type: object additionalProperties: type: number format: double description: Gets or sets the log spot step size by asset id. max_log_spot: type: number description: Gets or sets the max log spot. format: double max_log_spot_override_by_asset_id: type: object additionalProperties: type: number format: double description: Gets or sets the max log spot by asset id. min_log_spot: type: number description: Gets or sets the min log spot. format: double min_log_spot_override_by_asset_id: type: object additionalProperties: type: number format: double description: Gets or sets the min log spot by asset id. pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. todays_fixing_is_set: type: boolean description: Gets or sets a value indicating whether [todays fixing is set]. num_simulations: type: integer description: Gets or sets numSimulations. format: int32 num_time_points: type: integer description: Gets or sets numTimePoints. format: int32 num_strike_points: type: integer description: Gets or sets numStrikePoints. format: int32 strike_stdev: type: number description: Gets or sets strikeStdev. format: double max_init_time_step: type: integer description: Gets or sets maxInitTimeStep. format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqVarianceSwapModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqVarianceSwapModelParamsDto. EqVolatilitySwapModelParams: required: - $type type: object properties: log_spot_step_size: type: number description: Gets or sets the log spot step size. format: double log_spot_step_size_override_by_asset_id: type: object additionalProperties: type: number format: double description: Gets or sets the log spot step size by asset id. max_log_spot: type: number description: Gets or sets the max log spot. format: double max_log_spot_override_by_asset_id: type: object additionalProperties: type: number format: double description: Gets or sets the max log spot by asset id. min_log_spot: type: number description: Gets or sets the min log spot. format: double min_log_spot_override_by_asset_id: type: object additionalProperties: type: number format: double description: Gets or sets the min log spot by asset id. pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. todays_fixing_is_set: type: boolean description: Gets or sets a value indicating whether [todays fixing is set]. num_simulations: type: integer description: Gets or sets numSimulations. format: int32 num_time_points: type: integer description: Gets or sets numTimePoints. format: int32 num_strike_points: type: integer description: Gets or sets numStrikePoints. format: int32 strike_stdev: type: number description: Gets or sets strikeStdev. format: double max_init_time_step: type: integer description: Gets or sets maxInitTimeStep. format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqVolatilitySwapModelParams, Derivitec.Web.Core additionalProperties: false description: Class EqVolatilitySwapModelParamsDto. EqVolatilityKnockoutOptionModelParams: required: - $type type: object properties: log_spot_step_size: type: number description: Gets or sets the log-spot spacing used by the numerical grid. format: double example: 0.5 log_spot_step_size_override_by_asset_id: type: object additionalProperties: type: number format: double description: >- Gets or sets log-spot spacing overrides keyed by equity asset identifier. max_log_spot: type: number description: Gets or sets the upper log-spot boundary used by the numerical grid. format: double example: 10 max_log_spot_override_by_asset_id: type: object additionalProperties: type: number format: double description: >- Gets or sets upper log-spot boundary overrides keyed by equity asset identifier. min_log_spot: type: number description: Gets or sets the lower log-spot boundary used by the numerical grid. format: double example: -10 min_log_spot_override_by_asset_id: type: object additionalProperties: type: number format: double description: >- Gets or sets lower log-spot boundary overrides keyed by equity asset identifier. todays_fixing_is_set: type: boolean description: >- Gets or sets whether the pricing-date equity spot is included as today's realized-volatility fixing. example: false num_simulations: type: integer description: Gets or sets the number of Monte Carlo paths. format: int32 example: 65536 num_time_points: type: integer description: >- Gets or sets the target number of time points used by the Monte Carlo discretization. format: int32 example: 100 num_strike_points: type: integer description: Gets or sets the number of strike points used by the numerical grid. format: int32 example: 100 strike_stdev: type: number description: >- Gets or sets the number of standard deviations covered by the strike grid. format: double example: 7 max_init_time_step: type: integer description: >- Gets or sets the maximum initial time-step size used by the Monte Carlo discretization. format: int32 example: 100 use_control_variate: type: boolean description: >- Gets or sets whether the Monte Carlo calculation uses a control variate. example: true $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqVolatilityKnockoutOptionModelParams, Derivitec.Web.Core additionalProperties: false description: >- Configures Monte Carlo valuation of equity volatility knockout options for an individual risk request. FxOptionModelParams: required: - $type type: object properties: use_contract_traded_price: type: boolean description: >- If true we use the traded price stamped on the contract (which is zero by default) If false the traded price is set to the current option premium when calling RebaseCashFlows. The NPV is then zero, as if the options contract had been entered at the current level pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. use_implied_correlations: type: boolean correlation_lookforward_horizon: type: integer description: >- Gets or sets the lookforward horizon; if negative the lookforward horizon is defined from trade expiration date format: int32 correlation_min_lookforward_horizon: type: integer format: int32 correlation_lookback_window_start_date_rule: type: string description: >- Returns the correlation lookback window start date rule (used only for realised correlations) nullable: true readOnly: true correlation_modifier_stored: type: string description: >- Gets the stored modified (used when loading correlations from MongoDb). nullable: true readOnly: true correlation_observation_period: type: string description: >- Gets or sets the observation period (used only for realised correlations) nullable: true readOnly: true $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxOptionModelParams, Derivitec.Web.Core additionalProperties: false description: Class FxOptionModelParams. FxOptionAmericanModelParams: required: - $type type: object properties: max_log_spot: type: integer description: Gets or sets the maximum log spot. format: int32 min_log_spot: type: integer description: Gets or sets the minimum log spot. format: int32 pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. time_step_size: type: integer description: Gets or sets the size of the time step. format: int32 min_number_of_spot_points: type: integer description: The minimum number of spot points format: int32 min_number_of_time_steps: type: integer description: The minimum number of time steps format: int32 grid_factor: type: integer description: The grid factor format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxOptionAmericanModelParams, Derivitec.Web.Core additionalProperties: false description: Class FxOptionAmericanModelParams. FxVarianceSwapModelParams: required: - $type type: object properties: log_spot_step_size: type: number description: Gets or sets the log spot step size. format: double log_spot_step_size_override_by_fx_cross_id: type: object additionalProperties: type: number format: double description: Gets or sets the log spot step size by asset id. max_log_spot: type: number description: Gets or sets the max log spot. format: double max_log_spot_override_by_fx_cross_id: type: object additionalProperties: type: number format: double description: Gets or sets the max log spot by asset id. min_log_spot: type: number description: Gets or sets the min log spot. format: double min_log_spot_override_by_fx_cross_id: type: object additionalProperties: type: number format: double description: Gets or sets the min log spot by asset id. pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. todays_fixing_is_set: type: boolean description: Gets or sets a value indicating whether [todays fixing is set]. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxVarianceSwapModelParams, Derivitec.Web.Core additionalProperties: false description: Class FxVarianceSwapModelParamsDto. FxOptionOnRealisedVolatilityModelParams: required: - $type type: object properties: pricing_method: enum: - black_scholes type: string description: Gets or sets the pricing method. todays_fixing_is_set: type: boolean description: Gets or sets a value indicating whether [todays fixing is set]. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxOptionOnRealisedVolatilityModelParams, Derivitec.Web.Core additionalProperties: false description: Class FxOptionOnRealisedVolatilityModelParamsDto. FxVolatilitySwapModelParams: required: - $type type: object properties: log_spot_step_size: type: number description: Gets or sets the log spot step size. format: double log_spot_step_size_override_by_fx_cross_id: type: object additionalProperties: type: number format: double description: Gets or sets the log spot step size by asset id. max_log_spot: type: number description: Gets or sets the max log spot. format: double max_log_spot_override_by_fx_cross_id: type: object additionalProperties: type: number format: double description: Gets or sets the max log spot by asset id. min_log_spot: type: number description: Gets or sets the min log spot. format: double min_log_spot_override_by_fx_cross_id: type: object additionalProperties: type: number format: double description: Gets or sets the min log spot by asset id. pricing_method: enum: - black_scholes - monte_carlo type: string description: Gets or sets the pricing method. todays_fixing_is_set: type: boolean description: Gets or sets a value indicating whether [todays fixing is set]. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxVolatilitySwapModelParams, Derivitec.Web.Core additionalProperties: false description: Class FxVolatilitySwapModelParamsDto. FutureModelParams: required: - $type type: object properties: use_contract_traded_price: type: boolean description: >- If true we use the traded price stamped on the contract (which is zero by default) If false the traded price is set to the current futures price when calling RebaseCashFlows. The NPV is then zero, as if the futures contract had been entered at the current level $type: type: string enum: - Derivitec.Web.Core.Tradables.FutureModelParams, Derivitec.Web.Core additionalProperties: false description: The future model params. EqCorrelationSwapModelParams: required: - $type type: object additionalProperties: false properties: num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 use_control_variate: type: boolean description: get or set useControlVariate in mc store_simulations: type: boolean description: get or set storeSimulations in mc correlation_lookback_window_start_date_rule: type: string description: >- Returns the correlation lookback window start date rule (used only for realised correlations) nullable: true correlation_modifier_stored: type: string description: >- Gets the stored modified (used when loading correlations from MongoDb). nullable: true correlation_observation_period: type: string description: >- Gets or sets the observation period (used only for realised correlations) nullable: true $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqCorrelationSwapModelParams, Derivitec.Web.Core FxCorrelationSwapModelParams: required: - $type type: object properties: num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 use_control_variate: type: boolean description: get or set useControlVariate in mc store_simulations: type: boolean description: get or set storeSimulations in mc correlation_lookback_window_start_date_rule: type: string description: >- Returns the correlation lookback window start date rule (used only for realised correlations) nullable: true correlation_modifier_stored: type: string description: >- Gets the stored modified (used when loading correlations from MongoDb). nullable: true correlation_observation_period: type: string description: >- Gets or sets the observation period (used only for realised correlations) nullable: true use_implied_correlations: type: boolean description: Gets or sets the use implied correlaitons flag correlation_lookforward_horizon: type: integer description: >- Gets or sets the lookforward horizon; if negative the lookforward horizon is defined from trade expiration date format: int32 correlation_min_lookforward_horizon: type: integer format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.FxCorrelationSwapModelParams, Derivitec.Web.Core additionalProperties: false EqCorridorVolatilitySwapModelParams: required: - $type type: object additionalProperties: false properties: todays_fixings_are_fixed: type: boolean description: get or set TodaysFixingsAreFixed num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqCorridorVolatilitySwapModelParams, Derivitec.Web.Core EqGeometricVarianceSwapModelParams: required: - $type type: object additionalProperties: false properties: todays_fixings_are_fixed: type: boolean description: get or set TodaysFixingsAreFixed num_simulations: type: integer description: get or set numSimulations in mc format: int32 num_time_points: type: integer description: get or set numSimulations in mc format: int32 num_strike_points: type: integer description: get or set numStrikePoints in mc format: int32 strike_stdev: type: number description: get or set strikeStdev in mc format: double max_init_time_step: type: integer description: get or set maxInitTimeStep in mc format: int32 $type: type: string enum: - >- Derivitec.Web.Core.Tradables.EqGeometricVarianceSwapModelParams, Derivitec.Web.Core IrSwaptionModelParams: required: - $type type: object properties: use_normal_vols: type: boolean description: Gets or sets the use normal vols flag. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.IrSwaptionModelParams, Derivitec.Web.Core additionalProperties: false OptionModelParams: description: The option model params. discriminator: propertyName: $type mapping: Derivitec.Web.Core.Tradables.OptionModelParams, Derivitec.Web.Core: '#/components/schemas/OptionModelParamsMintlifyShape' Derivitec.Web.Core.Tradables.EqOptionModelParams, Derivitec.Web.Core: '#/components/schemas/EqOptionModelParams' Derivitec.Web.Core.Tradables.FxOptionModelParams, Derivitec.Web.Core: '#/components/schemas/FxOptionModelParams' Derivitec.Web.Core.Tradables.IrOptionModelParams, Derivitec.Web.Core: '#/components/schemas/IrOptionModelParams' oneOf: - $ref: '#/components/schemas/OptionModelParamsMintlifyShape' - $ref: '#/components/schemas/EqOptionModelParams' - $ref: '#/components/schemas/FxOptionModelParams' - $ref: '#/components/schemas/IrOptionModelParams' IrCapFloorModelParams: required: - $type type: object properties: use_normal_vols: type: boolean description: Gets or sets the use normal vols flag. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.IrCapFloorModelParams, Derivitec.Web.Core additionalProperties: false OptionModelParamsMintlifyShape: required: - $type type: object properties: use_contract_traded_price: type: boolean description: >- If true we use the traded price stamped on the contract (which is zero by default) If false the traded price is set to the current option premium when calling RebaseCashFlows. The NPV is then zero, as if the options contract had been entered at the current level $type: type: string enum: - Derivitec.Web.Core.Tradables.OptionModelParams, Derivitec.Web.Core additionalProperties: false description: The option model params. IrOptionModelParams: required: - $type type: object properties: use_contract_traded_price: type: boolean description: >- If true we use the traded price stamped on the contract (which is zero by default) If false the traded price is set to the current option premium when calling RebaseCashFlows. The NPV is then zero, as if the options contract had been entered at the current level use_normal_vols: type: boolean description: Gets or sets the use normal vols flag. $type: type: string enum: - >- Derivitec.Web.Core.Tradables.IrOptionModelParams, Derivitec.Web.Core additionalProperties: false securitySchemes: oauth2: type: oauth2 description: >- OAuth2 access-token requested from AWS Cognito and provided as a Auth Bearer header flows: implicit: authorizationUrl: https://auth.riskportal.derivitec.com/oauth2/authorize scopes: {} apikey: type: apiKey description: API-Key requested via the site and provided as a header name: x-api-key in: header ````