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EuropeanCallDeltaObjective

class EuropeanCallDeltaObjective(num_state_qubits, strike_price, bounds)

Bases: QuantumCircuit

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.

Parameters:

• num_state_qubits (int) – The number of qubits used to encode the random variable.

• strike_price (float) – strike price of the European option

• bounds (Tuple[float, float]) – The tuple of the bounds, (min, max), of the discretized random variable.

Attributes

Methods

post_processing(scaled_value)

Map the scaled value back to the original domain. :param scaled_value: The scaled value.

Returns:

The scaled value mapped back to the original domain.

Return type:

float