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 VolgaGreekFiller(IGreekFiller):
""" Class that retrieves the relevant market states for volga computation, computes the finite difference and fills
the greeks dictionary.
Parameters
----------
vega_bump_size : float
The additive bump :math:`\epsilon` applied on the At-The-Money annualized volatility :math:`\sigma` for vega computation.
volga_bump_size : float
The additive bump :math:`\epsilon` applied on the At-The-Money annualized volatility :math:`\sigma` for volga computation.
"""
def __init__(self, vega_bump_size, volga_bump_size):
self.__vega_bump_size = vega_bump_size
self.__volga_bump_size = volga_bump_size
[docs] def fill(self, pvs: Dict[MarketStateKey, PricingResult], results: Dict[ResultKey, float]) -> None:
""" Retrieve the relevant market states for volga 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.VolgaGreekFiller import VolgaGreekFiller
>>> from Common.MarketStateKeys import MarketStateKeys
>>> from Common.ResultKeys import ResultKeys
>>> from Common.PricingResult import PricingResult
>>> pvs = dict()
>>> results = dict()
>>> pvs[MarketStateKeys.volga_up_up] = PricingResult(1.60,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.volga_up_down] = PricingResult(1.52,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.volga_down_up] = PricingResult(1.50,0.0,0.0,0.0)
>>> pvs[MarketStateKeys.volga_down_down] = PricingResult(1.48,0.0,0.0,0.0)
>>> gamma_filler = VolgaGreekFiller(vega_bump_size=0.01, volga_bump_size= 0.005)
>>> gamma_filler.fill(pvs, results)
>>> print(results[ResultKeys.volga])
300.0000000000003
"""
volga_up_up = pvs[MarketStateKeys.volga_up_up].price
volga_up_down = pvs[MarketStateKeys.volga_up_down].price
volga_down_up = pvs[MarketStateKeys.volga_down_up].price
volga_down_down = pvs[MarketStateKeys.volga_down_down].price
vega_up = (volga_up_up - volga_up_down) / (2.0 * self.__vega_bump_size)
vega_down = (volga_down_up - volga_down_down) / (2.0 * self.__vega_bump_size)
volga = (vega_up - vega_down) / (2.0 * self.__volga_bump_size)
results[ResultKeys.volga] = volga
if __name__ == "__main__":
import doctest
doctest.testmod()