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 ThetaGreekFiller(IGreekFiller):
""" Class that retrieves the relevant market states for theta computation, computes the finite difference and fills
the greeks dictionary.
"""
[docs] def fill(self, pvs: Dict[MarketStateKey, PricingResult], results: Dict[ResultKey, float]) -> None:
""" Retrieve the relevant market states for rho 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.ThetaGreekFiller import ThetaGreekFiller
>>> from Common.MarketStateKeys import MarketStateKeys
>>> from Common.ResultKeys import ResultKeys
>>> from Common.PricingResult import PricingResult
>>> pvs = dict()
>>> results = dict()
>>> moneyness = 0.95
>>> pvs[MarketStateKeys.theta_up] = PricingResult(1.50,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.price] = PricingResult(1.52,0.0,0.0,0.0)
>>> theta_filler = ThetaGreekFiller()
>>> theta_filler.fill(pvs, results)
>>> print(results[ResultKeys.theta])
-0.020000000000000018
"""
theta_up = pvs[MarketStateKeys.theta_up].price
price = pvs[MarketStateKeys.price].price
theta = (theta_up - price)
results[ResultKeys.theta] = theta
if __name__ == "__main__":
import doctest
doctest.testmod()