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