from Common.MarketDataKey import MarketDataKey
from Greeks.Common.GreekKey import GreekKey
from Pricing.Common.PriceKey import PriceKey
[docs]class ResultKeys:
""" Static class regrouping the different market state keys used for greeks computation.
Examples
--------
>>> from Common.ResultKeys import ResultKeys
>>> delta = ResultKeys.delta
>>> print(delta)
Delta
>>> price = ResultKeys.price
>>> print(price)
Price
>>> underlying_level = ResultKeys.underlying_level
>>> print(underlying_level)
UnderlyingLevel
"""
delta = GreekKey("Delta")
gamma = GreekKey("Gamma")
vega = GreekKey("Vega")
vanna = GreekKey("Vanna")
volga = GreekKey("Volga")
theta = GreekKey("Theta")
rho = GreekKey("Rho")
price = PriceKey("Price")
underlying_level = MarketDataKey("UnderlyingLevel")
atm_vol = MarketDataKey("AtmVol")
option_vol = MarketDataKey("OptionVol")
@staticmethod
def smile_risk(moneyness: float) -> GreekKey:
return GreekKey("Smile_Risk_{0}".format(str(moneyness)))
if __name__ == "__main__":
import doctest
doctest.testmod()