This project is archived

Qiskit Finance is no longer maintained and this documentation is no longer updated. It is kept online for reference only, and the code it describes may not work with current versions of Qiskit. See the project repository for more information.

Source code for qiskit_finance.applications.estimation.european_call_delta

# This code is part of a Qiskit project.
#
# (C) Copyright IBM 2018, 2023.
#
# This code is licensed under the Apache License, Version 2.0. You may
# obtain a copy of this license in the LICENSE.txt file in the root directory
# of this source tree or at http://www.apache.org/licenses/LICENSE-2.0.
#
# Any modifications or derivative works of this code must retain this
# copyright notice, and modified files need to carry a notice indicating
# that they have been altered from the originals.

"""An application class for the European Call Option Delta."""
from typing import Tuple

from qiskit.circuit import QuantumCircuit
from qiskit_algorithms import (
    EstimationProblem,
    AmplitudeEstimatorResult,
)
from qiskit_finance.applications.estimation.estimation_application import (
    EstimationApplication,
)
from qiskit_finance.circuit.library.payoff_functions.european_call_delta_objective import (
    EuropeanCallDeltaObjective,
)


class EuropeanCallDelta(EstimationApplication):
    """Estimation application for the European Call Option Delta.
    Evaluates the variance for a European call option given an uncertainty model.
    The payoff function is f(S, K) = max(0, S - K) for a spot price S and strike price K.
    """

    def __init__(
        self,
        num_state_qubits: int,
        strike_price: float,
        bounds: Tuple[float, float],
        uncertainty_model: QuantumCircuit,
    ) -> None:
        """
        Args:
            num_state_qubits: The number of qubits used to encode the random variable.
            strike_price: strike price of the European option
            bounds: The tuple of the bounds, (min, max), of the discretized random variable.
            uncertainty_model: A circuit for encoding a problem distribution
        """
        self._objective = EuropeanCallDeltaObjective(
            num_state_qubits=num_state_qubits, strike_price=strike_price, bounds=bounds
        )
        self._state_preparation = QuantumCircuit(self._objective.num_qubits)
        self._state_preparation.compose(
            uncertainty_model, range(uncertainty_model.num_qubits), inplace=True
        )
        self._state_preparation.compose(
            self._objective, range(self._objective.num_qubits), inplace=True
        )
        self._objective_qubits = uncertainty_model.num_qubits

    def to_estimation_problem(self) -> EstimationProblem:
        """Convert a problem instance into a
        :class:`qiskit_algorithms.EstimationProblem`

        Returns:
            The :class:`qiskit_algorithms.EstimationProblem` created
            from the European call delta problem instance.
        """
        problem = EstimationProblem(
            state_preparation=self._state_preparation,
            objective_qubits=[self._objective_qubits],
            post_processing=self._objective.post_processing,
        )
        return problem

    def interpret(self, result: AmplitudeEstimatorResult) -> float:
        """Convert the calculation result of the problem
        (:class:`qiskit_algorithms.AmplitudeEstimatorResult`)
        to the answer of the problem.

        Args:
            result: The calculated result of the problem

        Returns:
            The estimation value after the post_processing.
        """
        return result.estimation_processed