Source code for qiskit_finance.applications.estimation.european_call_delta

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

from qiskit.circuit import QuantumCircuit
from qiskit_algorithms import (
from qiskit_finance.applications.estimation.estimation_application import (
from qiskit_finance.circuit.library.payoff_functions.european_call_delta_objective import (

[docs]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
[docs] 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
[docs] 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