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42 lines
1.5 KiB
Python
42 lines
1.5 KiB
Python
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"""greeks.py — Portfolio-level Greek aggregation using Garman-Kohlhagen model."""
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from .garman_kohlhagen import (
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gk_delta, gk_gamma, gk_vega, gk_theta, gk_rho_d, gk_phi
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)
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def portfolio_greeks(
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options: list[dict], S: float, sigma: float,
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T: float, r_d: float, r_f: float
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) -> dict:
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"""Aggregate GK Greeks across all legs of a forex options portfolio."""
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total = {"delta": 0.0, "gamma": 0.0, "vega": 0.0,
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"theta": 0.0, "rho_d": 0.0, "phi": 0.0}
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legs = []
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for opt in options:
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otype = opt["type"]
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K, qty = float(opt["K"]), float(opt["qty"])
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leg_T = float(opt.get("T", T))
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d = gk_delta(S, K, leg_T, r_d, r_f, sigma, otype) * qty
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g = gk_gamma(S, K, leg_T, r_d, r_f, sigma) * qty
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v = gk_vega(S, K, leg_T, r_d, r_f, sigma) * qty
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th = gk_theta(S, K, leg_T, r_d, r_f, sigma, otype) * qty
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rho = gk_rho_d(S, K, leg_T, r_d, r_f, sigma, otype) * qty
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phi = gk_phi(S, K, leg_T, r_d, r_f, sigma, otype) * qty
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total["delta"] += d; total["gamma"] += g; total["vega"] += v
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total["theta"] += th; total["rho_d"] += rho; total["phi"] += phi
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legs.append({
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"label": f"{'+'if qty>0 else ''}{int(qty)} {otype.upper()} K={K}",
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"delta": round(d, 5), "gamma": round(g, 7),
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"vega": round(v, 4), "theta": round(th, 4),
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})
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return {
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"total": {k: round(v, 6) for k, v in total.items()},
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"legs": legs,
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}
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