Greeks.GreekFillers.GreekFillersFactory

Classes

DeltaGreekFiller(delta_bump_size)	Class that retrieves the relevant market states for delta computation, computes the finite difference and fills the greeks dictionary.
GammaGreekFiller(delta_bump_size, ...)	Class that retrieves the relevant market states for gamma computation, computes the finite difference and fills the greeks dictionary.
GreekFillersFactory(...)	Class that builds a list of greeks fillers given a greeks definition.
GreeksDefinition(delta_relative_bump_size, ...)	Container class to describe the bumps to be applied when computing greeks by finite differences.
IGreekFiller	General interface that retrieves the relevant market states for greek computation, computes the finite difference and fills the greeks dictionary.
List	Methods
Market(ref_date: datetime.date, ...)	Container class to encapsulate dated market data.
RhoGreekFiller	Class that retrieves the relevant market states for rho computation, computes the finite difference and fills the greeks dictionary.
ShockUtilities	Helper class to perform unit conversion on greeks shocks.
SmilerRiskGreekFiller(moneyness, ...)	Class that retrieves the relevant market states for smile risk computation, computes the finite difference and fills the greeks dictionary.
ThetaGreekFiller	Class that retrieves the relevant market states for theta computation, computes the finite difference and fills the greeks dictionary.
VannaGreekFiller(delta_bump_size, vega_bump_size)	Class that retrieves the relevant market states for vanna computation, computes the finite difference and fills the greeks dictionary.
VegaGreekFiller(vega_bump_size)	Class that retrieves the relevant market states for vega computation, computes the finite difference and fills the greeks dictionary.
VolgaGreekFiller(vega_bump_size, volga_bump_size)	Class that retrieves the relevant market states for volga computation, computes the finite difference and fills the greeks dictionary.

class Greeks.GreekFillers.GreekFillersFactory.GreekFillersFactory(market: MarketQuotations.Market.Market)

Class that builds a list of greeks fillers given a greeks definition.

Parameters:

market : Market

The market data necessary to convert relative bumps into absolute ones.

Methods

build(...)

Build a list of greeks fillers given a greeks definition.

build(greeks_definition: Greeks.Common.GreeksDefinition.GreeksDefinition) → typing.List[Greeks.GreekFillers.IGreekFiller.IGreekFiller]

Build a list of greeks fillers given a greeks definition.

Parameters:

greeks_definition : GreeksDefinition

The description of bumps that are applied on market data for greeks computation.

Returns:

greek_fillers : List[IGreekFiller]

The list of greek fillers that will be used to compute the greeks