REF/TYP: internal pricing object metrics for FXOption (#642)

attack68 · Jan 19, 2025 · 4f9b9c2 · 4f9b9c2
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diff --git a/docs/source/c_fx_smile.rst b/docs/source/c_fx_smile.rst
@@ -404,8 +404,8 @@ this produces minor deviations from his calculated values.
    for op in ops:
        op.rate(fx=fxf)
 
-   strikes = [float(_._pricing["k"]) for _ in ops]
-   vols = [float(_._pricing["vol"]) for _ in ops]
+   strikes = [float(_._pricing.k) for _ in ops]
+   vols = [float(_._pricing.vol) for _ in ops]
    data2 = DataFrame(
        data=[strikes[0:3], vols[0:3], strikes[3:6], vols[3:6], strikes[6:9], vols[6:9]],
        index=[("1y", "k"), ("1y", "vol"), ("18m", "k"), ("18m", "vol"), ("2y", "k"), ("2y", "vol")],

diff --git a/docs/source/i_whatsnew.rst b/docs/source/i_whatsnew.rst
@@ -101,6 +101,10 @@ email contact, see `rateslib <https://rateslib.com>`_.
        *FXRates* and *FXForwards* to allow auto-mutate detection of associated objects and ensure
        consistent method results.
        (`570 <https://github.com/attack68/rateslib/pull/570>`_)
+   * - Refactor
+     - The internal data objects for *FXOption* pricing are restructured to conform to more
+       strict data typing.
+       (`642 <https://github.com/attack68/rateslib/pull/642>`_)
 
 1.6.0 (30th November 2024)
 ****************************

diff --git a/python/rateslib/instruments/fx_volatility/strategies.py b/python/rateslib/instruments/fx_volatility/strategies.py
@@ -40,7 +40,7 @@ class FXOptionStrat:
         The multiplier for the *'vol'* metric that sums the options to a final *rate*.
     """
 
-    _pricing: dict[str, Any]
+    _greeks: dict[str, Any] = {}
     _strat_elements: tuple[FXOption | FXOptionStrat, ...]
     periods: list[FXOption]
 
@@ -733,7 +733,7 @@ def d_wrt_sigma1(period_index, greeks, smile_greeks, vol, eta1):
             iters += 1
 
         if record_greeks:  # this needs to be explicitly called since it degrades performance
-            self._pricing["strangle_greeks"] = {
+            self._greeks["strangle"] = {
                 "single_vol": {
                     "FXPut": self.periods[0].analytic_greeks(curves, solver, fx, base, vol=tgt_vol),
                     "FXCall": self.periods[1].analytic_greeks(
@@ -900,16 +900,16 @@ def _maybe_set_vega_neutral_notional(self, curves, solver, fx, base, vol, metric
                 metric="single_vol",
                 record_greeks=True,
             )
-            self._pricing["straddle_greeks"] = self.periods[1].analytic_greeks(
+            self._greeks["straddle"] = self.periods[1].analytic_greeks(
                 curves,
                 solver,
                 fx,
                 base,
                 vol=vol[1],
             )
-            strangle_vega = self._pricing["strangle_greeks"]["market_vol"]["FXPut"]["vega"]
-            strangle_vega += self._pricing["strangle_greeks"]["market_vol"]["FXCall"]["vega"]
-            straddle_vega = self._pricing["straddle_greeks"]["vega"]
+            strangle_vega = self._greeks["strangle"]["market_vol"]["FXPut"]["vega"]
+            strangle_vega += self._greeks["strangle"]["market_vol"]["FXCall"]["vega"]
+            straddle_vega = self._greeks["straddle"]["vega"]
             scalar = strangle_vega / straddle_vega
             self.periods[1].kwargs["notional"] = float(
                 self.periods[0].periods[0].periods[0].notional * -scalar,