Greeks.StateFillers.IMarketStateFiller¶

Classes

`Dict`(...[, two])	Methods
`GreeksDefinition`(delta_relative_bump_size, ...)	Container class to describe the bumps to be applied when computing greeks by finite differences.
`IMarketStateFiller`	General interface that defines the market states that are relevant for greek computation by finite difference .
`Market`(ref_date: datetime.date, ...)	Container class to encapsulate dated market data.
`MarketStateKey`(id)	Container class to identify a market state in a greeks run.

class Greeks.StateFillers.IMarketStateFiller.IMarketStateFiller[source]¶

General interface that defines the market states that are relevant for greek computation by finite difference .

See also

PriceMarketStateFiller: PriceMarketStateFiller
DeltaMarketStateFiller: DeltaMarketStateFiller
GammaMarketStateFiller: GammaMarketStateFiller
RhoMarketStateFiller: RhoMarketStateFiller
SmileRiskMarketStateFiller: SmileRiskMarketStateFiller
ThetaMarketStateFiller: ThetaMarketStateFiller
VannaMarketStateFiller: VannaMarketStateFiller
VegaMarketStateFiller: VegaMarketStateFiller
VolgaMarketStateFiller: VolgaMarketStateFiller

Methods

fill(...) Fills the market state dictionary by the relevant states necessary to the greek calculation.

fill(greeks_definition: Greeks.Common.GreeksDefinition.GreeksDefinition, market_states: typing.Dict[Common.MarketStateKey.MarketStateKey, MarketQuotations.Market.Market]) → None[source]¶

Fills the market state dictionary by the relevant states necessary to the greek calculation.

Parameters:

greeks_definition : Market

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

market_states : Dict[MarketStateKey, float]

Dictionary of market states identified by its market state key.

Returns:

None