from typing import Dict
from Common.MarketStateKey import MarketStateKey
from Common.MarketStateKeys import MarketStateKeys
from Greeks.Common.GreeksDefinition import GreeksDefinition
from Greeks.Common.ShockUtilities import ShockUtilities
from MarketQuotations.Market import Market
from MarketQuotations.MarketData import MarketData
from Greeks.StateFillers.IMarketStateFiller import IMarketStateFiller
[docs]class DeltaMarketStateFiller(IMarketStateFiller):
""" Class that defines the market states that are relevant for delta computation by finite difference.
Parameters
----------
market : :class:`~MarketQuotations.Market`
The market data necessary to compute price and greeks.
"""
def __init__(self, market : Market):
self.__market = market
[docs] def fill(self, greeks_definition: GreeksDefinition, market_states: Dict[MarketStateKey, Market]) -> None:
""" Fills the market state dictionary by the relevant states necessary to delta calculation.
Parameters
----------
greeks_definition : :class:`~Greeks.Common.GreeksDefinition`
The description of bumps that are applied on market data for greeks computation.
market_states : Dict[:class:`~Common.MarketStateKey`, float]
Dictionary of market states identified by its market state key.
Returns
-------
None
"""
delta_up = MarketStateKeys.delta_up
delta_down = MarketStateKeys.delta_down
market = self.__market
market_data = market.market_data
value_date = market.ref_date
underlying_level = market_data.underlying_level
atm_vol = market_data.atm_vol
moneyness = market_data.moneyness
skew_values = market_data.skew_values
raw_discount_rate_curve = market_data.raw_discount_rate_curve
delta_relative_bump_size = greeks_definition.delta_relative_bump_size
delta_bump_size = ShockUtilities.to_absolute(delta_relative_bump_size, underlying_level, atm_vol)
underlying_level_up = underlying_level + delta_bump_size
underlying_level_down = underlying_level - delta_bump_size
market_up = Market(value_date, MarketData(underlying_level_up, atm_vol, moneyness, skew_values, raw_discount_rate_curve))
market_down = Market(value_date, MarketData(underlying_level_down, atm_vol, moneyness, skew_values, raw_discount_rate_curve))
market_states[delta_up] = market_up
market_states[delta_down] = market_down