Compute Portfolio Greeks | Dataford Interview Questions

Write a function to calculate the Greek values of a portfolio.

Assume every position is a European call or put valued with the Black-Scholes model. Return the portfolio-level delta, gamma, vega, theta, and rho by multiplying each position's Greeks by its signed quantity and summing across positions.

The function accepts a list of position dictionaries and returns a dictionary of five floating-point Greek values. Inputs use annualized time, volatility, and interest rate. For positions at expiry, use intrinsic-value delta, with delta 0.5 for an at-the-money option, and return zero for the other Greeks.

Signature: def calculate_portfolio_greeks(portfolio):

Each position contains type, quantity, spot, strike, time_to_expiry, volatility, and rate. Quantities may be negative for short positions.

Constraints

0 <= len(portfolio) <= 10000
Each position type is either "call" or "put"
Quantities are signed integers
spot > 0 and strike > 0
time_to_expiry >= 0
volatility > 0 when time_to_expiry > 0
rate is an annualized continuously compounded risk-free rate
All time, rate, and volatility values use annualized units

Function Signature

def calculate_portfolio_greeks(portfolio):

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