from typing import Dict
from Common.MarketStateKey import MarketStateKey
from Common.MarketStateKeys import MarketStateKeys
from Common.PricingResult import PricingResult
from Common.ResultKey import ResultKey
from Greeks.GreekFillers.IGreekFiller import IGreekFiller
from Common.ResultKeys import ResultKeys
[docs]class GammaGreekFiller(IGreekFiller):
""" Class that retrieves the relevant market states for gamma computation, computes the finite difference and fills
the greeks dictionary.
Parameters
----------
delta_bump_size : float
The additive bump :math:`\epsilon` applied on the underlying :math:`S` for delta computation.
gamma_bump_size : float
The additive bump :math:`\epsilon` applied on the underlying :math:`S` for gamma computation.
"""
def __init__(self, delta_bump_size, gamma_bump_size):
self.__delta_bump_size = delta_bump_size
self.__gamma_bump_size = gamma_bump_size
[docs] def fill(self, pvs: Dict[MarketStateKey, PricingResult], results: Dict[ResultKey, float]) -> None:
""" Retrieve the relevant market states for gamma computation, computes the finite difference and fills
the greeks dictionary.
Parameters
----------
pvs : Dict[:class:`~Common.MarketStateKey`, :class:`~Common.PricingResult`]
Dictionary that maps each market state to the option price given that state.
results : Dict[:class:`~Common.ResultKey`, float]
Dictionary that contains the results of greeks computation.
Returns
-------
None
Examples
--------
>>> from Greeks.GreekFillers.GammaGreekFiller import GammaGreekFiller
>>> from Common.MarketStateKeys import MarketStateKeys
>>> from Common.ResultKeys import ResultKeys
>>> from Common.PricingResult import PricingResult
>>> pvs = dict()
>>> results = dict()
>>> pvs[MarketStateKeys.gamma_up_up] = PricingResult(1.60,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.gamma_up_down] = PricingResult(1.52,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.gamma_down_up] = PricingResult(1.50,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.gamma_down_down] = PricingResult(1.48,0.0,0.0,0.0)
>>> gamma_filler = GammaGreekFiller(delta_bump_size=1.0, gamma_bump_size= 0.2)
>>> gamma_filler.fill(pvs, results)
>>> print(results[ResultKeys.gamma])
0.07500000000000007
"""
gamma_up_up = pvs[MarketStateKeys.gamma_up_up].price
gamma_up_down = pvs[MarketStateKeys.gamma_up_down].price
gamma_down_up = pvs[MarketStateKeys.gamma_down_up].price
gamma_down_down = pvs[MarketStateKeys.gamma_down_down].price
delta_up = (gamma_up_up - gamma_up_down) / (2.0 * self.__delta_bump_size)
delta_down = (gamma_down_up - gamma_down_down) / (2.0 * self.__delta_bump_size)
gamma = (delta_up - delta_down) / (2.0 * self.__gamma_bump_size)
results[ResultKeys.gamma] = gamma
if __name__ == "__main__":
import doctest
doctest.testmod()