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34 lines
1.3 KiB
Python
34 lines
1.3 KiB
Python
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"""surface.py — 2-D risk surface computation over spot × vol grid."""
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import numpy as np
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from .greeks import portfolio_greeks
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from .garman_kohlhagen import gk_price
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def compute_surfaces(options, S_range, sigma_range, T, r_d, r_f):
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"""Compute Delta, Gamma, Vega, Theta, and P&L surfaces."""
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n_s, n_v = len(S_range), len(sigma_range)
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D = np.zeros((n_s, n_v)); G = np.zeros((n_s, n_v))
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V = np.zeros((n_s, n_v)); Th = np.zeros((n_s, n_v))
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for i, S in enumerate(S_range):
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for j, sigma in enumerate(sigma_range):
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g = portfolio_greeks(options, S, sigma, T, r_d, r_f)["total"]
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D[i,j]=g["delta"]; G[i,j]=g["gamma"]
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V[i,j]=g["vega"]; Th[i,j]=g["theta"]
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# P&L via Delta-Gamma approx around grid midpoint
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S0 = S_range[len(S_range)//2]
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sig0 = sigma_range[len(sigma_range)//2]
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base = portfolio_greeks(options, S0, sig0, T, r_d, r_f)["total"]
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PnL = np.zeros((n_s, n_v))
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for i, S in enumerate(S_range):
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dS = S - S0
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PnL[i,:] = base["delta"]*dS + 0.5*base["gamma"]*dS**2
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return {
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"S_range": S_range.tolist(), "sigma_range": sigma_range.tolist(),
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"delta": D.tolist(), "gamma": G.tolist(),
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"vega": V.tolist(), "theta": Th.tolist(), "pnl": PnL.tolist(),
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}
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