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Version: mainnet (v0.71)

LogNormalRiskModel

A type of risk model for futures trading

type LogNormalRiskModel {
  riskAversionParameter: Float!
  tau: Float!
  params: LogNormalModelParams!
}

Fields​

LogNormalRiskModel.riskAversionParameter ● Float! non-null scalar​

Lambda parameter of the risk model, probability confidence level used in expected shortfall calculation when obtaining the maintenance margin level, must be strictly greater than 0 and strictly smaller than 1

LogNormalRiskModel.tau ● Float! non-null scalar​

Tau parameter of the risk model, projection horizon measured as a year fraction used in the expected shortfall calculation to obtain the maintenance margin, must be a strictly non-negative real number

LogNormalRiskModel.params ● LogNormalModelParams! non-null object​

Parameters for the log normal risk model

Member of​

UpdateMarketLogNormalRiskModel object

Implemented by​

RiskModel union