Greeks.StateFillers.VolgaMarketStateFiller

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.
MarketData(underlying_level: float, ...)	Container class to encapsulate market data.
MarketStateKey(id)	Container class to identify a market state in a greeks run.
MarketStateKeys	Static class regrouping the different market state keys used for greeks computation.
VolgaMarketStateFiller(...)	Class that defines the market states that are relevant for volga computation by finite difference.

class Greeks.StateFillers.VolgaMarketStateFiller.VolgaMarketStateFiller(market: MarketQuotations.Market.Market)

Class that defines the market states that are relevant for volga computation by finite difference.

Parameters:

market : Market

The market data necessary to compute price and greeks.

Methods

fill(...)

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

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

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

Parameters:

greeks_definition : GreeksDefinition

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