Greeks.StateFillers.MarketStateFillersFactory

Classes

DeltaMarketStateFiller(...)	Class that defines the market states that are relevant for delta computation by finite difference.
GammaMarketStateFiller(...)	Class that defines the market states that are relevant for gamma computation by finite difference.
IMarketStateFiller	General interface that defines the market states that are relevant for greek computation by finite difference .
List	Methods
Market(ref_date: datetime.date, ...)	Container class to encapsulate dated market data.
PriceMarketStateFiller(...)	Class that defines the market states that are relevant for a price computation.
RhoMarketStateFiller(...)	Class that defines the market states that are relevant for rho computation by finite difference.
SmileRiskMarketStateFiller(...)	Class that defines the market states that are relevant for smile risk computation by finite difference.
StateFillersFactory	Class that builds a list of market state fillers given an initial market.
ThetaMarketStateFiller(...)	Class that defines the market states that are relevant for theta computation by finite difference.
VannaMarketStateFiller(...)	Class that defines the market states that are relevant for vanna computation by finite difference.
VegaMarketStateFiller(...)	Class that defines the market states that are relevant for vega computation by finite difference.
VolgaMarketStateFiller(...)	Class that defines the market states that are relevant for volga computation by finite difference.

class Greeks.StateFillers.MarketStateFillersFactory.StateFillersFactory

Class that builds a list of market state fillers given an initial market.

Methods

build(...)

Build a list of market state fillers given an initial market.

static build(market: MarketQuotations.Market.Market) → typing.List[Greeks.StateFillers.IMarketStateFiller.IMarketStateFiller]

Build a list of market state fillers given an initial market.

Parameters:

market : Market

The market data necessary to compute price and greeks.

Returns:

market_state_fillers : List[IMarketStateFiller]