Greeks.Common.GreeksDefinition

Classes

GreeksDefinition(delta_relative_bump_size, ...)

Container class to describe the bumps to be applied when computing greeks by finite differences.

class Greeks.Common.GreeksDefinition.GreeksDefinition(delta_relative_bump_size, gamma_relative_bump_size, vega_bump_size, theta_in_days_bump_size, rho_bump_size, volga_bump_size, smile_risk_bump_size)

Container class to describe the bumps to be applied when computing greeks by finite differences.

Parameters:

delta_relative_bump_size : float

The relative bump \(\epsilon\) applied on the underlying \(S\) for delta computation so that the additive shock is \(\epsilon S \sigma \sqrt{1/252}\) where \(\sigma\) is the annualized At-The-Money volatility.

gamma_relative_bump_size : float

The relative bump \(\epsilon\) applied on the underlying \(S\) for gamma computation so that the additive shock is \(\epsilon S \sigma \sqrt{1/252}\) where \(\sigma\) is the annualized At-The-Money volatility.

vega_bump_size : float

The additive bump \(\epsilon\) applied on the At-The-Money annualized volatility \(\sigma\) for vega computation.

theta_in_days_bump_size : float

The additive bump in days \(\epsilon\) applied on the pricing date \(t\) for theta computation.

rho_bump_size : float

The additive bump \(\epsilon\) applied on the interest rate \(r\) for rho computation.

volga_bump_size : float

The additive bump \(\epsilon\) applied on the At-The-Money annualized volatility \(\sigma\) for volga computation.

smile_risk_bump_size : float

The additive bump \(\epsilon\) applied on the smile for smile risk computation.

Examples

>>> from Greeks.Common.GreeksDefinition import GreeksDefinition
>>> greeks_definition = GreeksDefinition(0.1,1.5,0.01,1,0.0001,0.01,0.01)
>>> print(greeks_definition.vega_bump_size)
0.01

Attributes

delta_relative_bump_size
gamma_relative_bump_size
rho_bump_size
smile_risk_bump_size
theta_in_days_bump_size
vega_bump_size
volga_bump_size