Greeks.GreekFillers.IGreekFiller¶

Classes

`Dict`(...[, two])	Methods
`GreekKey`(id)	Container class to identify a greek computation result.
`IGreekFiller`	General interface that retrieves the relevant market states for greek computation, computes the finite difference and fills the greeks dictionary.
`MarketStateKey`(id)	Container class to identify a market state in a greeks run.
`ResultKey`(id)	General container class to identify a computation result.

class Greeks.GreekFillers.IGreekFiller.IGreekFiller[source]¶

General interface that retrieves the relevant market states for greek computation, computes the finite difference and fills the greeks dictionary.

See also

DeltaGreekFiller: DeltaGreekFiller
GammaGreekFiller: GammaGreekFiller
RhoGreekFiller: RhoGreekFiller
SmileRiskGreekFiller: SmileRiskGreekFiller
ThetaGreekFiller: ThetaGreekFiller
VannaGreekFiller: VannaGreekFiller
VegaGreekFiller: VegaGreekFiller
VolgaGreekFiller: VolgaGreekFiller

Methods

fill(...) Retrieve the relevant market states for greek computation, computes the finite difference and fills the greeks dictionary.

fill(pvs: typing.Dict[Common.MarketStateKey.MarketStateKey, Common.PricingResult.PricingResult], results: typing.Dict[Common.ResultKey.ResultKey, float]) → None[source]¶

Retrieve the relevant market states for greek computation, computes the finite difference and fills the greeks dictionary.

Parameters:

pvs : Dict[MarketStateKey, PricingResult]

Dictionary that maps each market state to the option price result given that state.

results : Dict[ResultKey, float]

Dictionary that contains the results of greeks computation.

Returns:

None