Greeks.Common.ShockUtilities

Classes

ShockUtilities

Helper class to perform unit conversion on greeks shocks.

class Greeks.Common.ShockUtilities.ShockUtilities

Helper class to perform unit conversion on greeks shocks.

Methods

to_absolute((relative_delta: float, ...)

Static method the converts a relative underlying shock into an additive shock.

static to_absolute(relative_delta: float, underlying_level: float, atm_vol: float) → float

Static method the converts a relative underlying shock into an additive shock.

Parameters:

relative_delta : float

The relative bump \(\epsilon\) applied on the underlying \(S\) for delta computation.

underlying_level : float

The market price of the underlying.

atm_vol : float

The At-The-Money volatility of the underlying.

Returns:

absolute_delta : float

The additive bump \(\epsilon\) applied on the underlying \(S\) for delta computation.

Examples

>>> from Greeks.Common.ShockUtilities import ShockUtilities
>>> relative_delta = 0.01
>>> underlying_level = 100.0
>>> atm_vol = 0.3
>>> ShockUtilities.to_absolute(relative_delta, underlying_level, atm_vol)
0.018898223650461361