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 SmilerRiskGreekFiller(IGreekFiller):
""" Class that retrieves the relevant market states for smile risk computation, computes the finite difference and fills
the greeks dictionary.
Parameters
----------
moneyness : float
The moneyness expressed in delta to identify the shocked implied volatility.
smile_risk_bump_size : float
The additive bump :math:`\epsilon` applied on the smile for smile risk computation.
"""
def __init__(self, moneyness, smile_risk_bump_size):
self.__moneyness = moneyness
self.__smile_risk_bump_size = smile_risk_bump_size
[docs] def fill(self, pvs: Dict[MarketStateKey, PricingResult], results: Dict[ResultKey, float]) -> None:
""" Retrieve the relevant market states for smile risk 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.SmileRiskGreekFiller import SmilerRiskGreekFiller
>>> from Common.MarketStateKeys import MarketStateKeys
>>> from Common.ResultKeys import ResultKeys
>>> from Common.PricingResult import PricingResult
>>> pvs = dict()
>>> results = dict()
>>> moneyness = 0.95
>>> pvs[MarketStateKeys.smile_risk_up(moneyness)] = PricingResult(1.60,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.smile_risk_down(moneyness)] = PricingResult(1.52,0.0,0.0,0.0)
>>> smile_risk_filler = SmilerRiskGreekFiller(moneyness=moneyness, smile_risk_bump_size=0.01)
>>> smile_risk_filler.fill(pvs, results)
>>> print(results[ResultKeys.smile_risk(moneyness)])
4.0000000000000036
"""
smile_risk_up = pvs[MarketStateKeys.smile_risk_up(self.__moneyness)].price
smile_risk_down = pvs[MarketStateKeys.smile_risk_down(self.__moneyness)].price
smile_risk = (smile_risk_up - smile_risk_down) / (2.0 * self.__smile_risk_bump_size)
results[ResultKeys.smile_risk(self.__moneyness)] = smile_risk
if __name__ == "__main__":
import doctest
doctest.testmod()