<filename>fypy/pricing/StrikesPricer.py
from abc import ABC, abstractmethod

import numpy as np


class StrikesPricer(ABC):
    """
    Abstract class for pricing a homogeneous type of instrument (e.g. European options),
    which are distinguished according to Time, Strike, and call or put.
    For example, we can price multiple strikes efficiently under a "Fourier" model such as Levy or Heston using
    a Fast Fourier Transform pricer. These typically have efficiencies for prices a set of strikes with common maturity

    Note: implementations of the strikes pricer is will target a single type of option, e.g. European, American, etc.
    """
    def price_strikes(self,
                      T: float,
                      K: np.ndarray,
                      is_calls: np.ndarray) -> np.ndarray:
        """
        Price a set of set of strikes (at same time to maturity, ie one slice of a surface)
        Override this method if given a more efficient implementation for multiple strikes
        :param T: float, time to maturity of options
        :param K: np.array, strikes of options
        :param is_calls: np.array[bool], indicators of if strikes are calls (true) or puts (false)
        :return: np.array, prices of strikes
        """
        return np.asarray([self.price(T, strike, is_call) for strike, is_call in zip(K, is_calls)])

    @abstractmethod
    def price(self, T: float, K: float, is_call: bool) -> float:
        """
        Price a single strike (of whatever type of instrument the strikes pricer can price)
        :param T: float, time to maturity
        :param K: float, strike of option
        :param is_call: bool, indicator of if strike is call (true) or put (false)
        :return: float, price of option
        """
        raise NotImplementedError

<filename>fypy/pricing/StrikesPricer.py
from abc import ABC, abstractmethod

import numpy as np


class StrikesPricer(ABC):
    """
    Abstract class for pricing a homogeneous type of instrument (e.g. European options),
    which are distinguished according to Time, Strike, and call or put.
    For example, we can price multiple strikes efficiently under a "Fourier" model such as Levy or Heston using
    a Fast Fourier Transform pricer. These typically have efficiencies for prices a set of strikes with common maturity

    Note: implementations of the strikes pricer is will target a single type of option, e.g. European, American, etc.
    """
    def price_strikes(self,
                      T: float,
                      K: np.ndarray,
                      is_calls: np.ndarray) -> np.ndarray:
        """
        Price a set of set of strikes (at same time to maturity, ie one slice of a surface)
        Override this method if given a more efficient implementation for multiple strikes
        :param T: float, time to maturity of options
        :param K: np.array, strikes of options
        :param is_calls: np.array[bool], indicators of if strikes are calls (true) or puts (false)
        :return: np.array, prices of strikes
        """
        return np.asarray([self.price(T, strike, is_call) for strike, is_call in zip(K, is_calls)])

    @abstractmethod
    def price(self, T: float, K: float, is_call: bool) -> float:
        """
        Price a single strike (of whatever type of instrument the strikes pricer can price)
        :param T: float, time to maturity
        :param K: float, strike of option
        :param is_call: bool, indicator of if strike is call (true) or put (false)
        :return: float, price of option
        """
        raise NotImplementedError

Abstract class for pricing a homogeneous type of instrument (e.g. European options),     which are distinguished according to Time, Strike, and call or put.     For example, we can price multiple strikes efficiently under a "Fourier" model such as Levy or Heston using     a Fast Fourier Transform pricer. These typically have efficiencies for prices a set of strikes with common maturity      Note: implementations of the strikes pricer is will target a single type of option, e.g. European, American, etc. Price a set of set of strikes (at same time to maturity, ie one slice of a surface)         Override this method if given a more efficient implementation for multiple strikes         :param T: float, time to maturity of options         :param K: np.array, strikes of options         :param is_calls: np.array[bool], indicators of if strikes are calls (true) or puts (false)         :return: np.array, prices of strikes Price a single strike (of whatever type of instrument the strikes pricer can price)         :param T: float, time to maturity         :param K: float, strike of option         :param is_call: bool, indicator of if strike is call (true) or put (false)         :return: float, price of option