# This code is part of a Qiskit project.
#
# (C) Copyright IBM 2018, 2023.
#
# This code is licensed under the Apache License, Version 2.0. You may
# obtain a copy of this license in the LICENSE.txt file in the root directory
# of this source tree or at http://www.apache.org/licenses/LICENSE-2.0.
#
# Any modifications or derivative works of this code must retain this
# copyright notice, and modified files need to carry a notice indicating
# that they have been altered from the originals.
"""The European Call Option Expected Value."""
from typing import Tuple
from qiskit.circuit import QuantumCircuit
from qiskit.circuit.library import LinearAmplitudeFunction
[documentos]class EuropeanCallPricingObjective(QuantumCircuit):
"""The European Call Option Expected Value.
Evaluates the expected payoff 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,
rescaling_factor: float,
bounds: Tuple[float, float],
) -> None:
"""
Args:
num_state_qubits: The number of qubits used to represent the random variable.
strike_price: strike price of the European option
rescaling_factor: approximation factor for linear payoff
bounds: The tuple of the bounds, (min, max), of the discretized random variable.
"""
# create piecewise linear amplitude function
breakpoints = [bounds[0], strike_price]
slopes = [0, 1]
offsets = [0, 0]
f_min = 0
f_max = bounds[1] - strike_price
european_call = LinearAmplitudeFunction(
num_state_qubits,
slopes,
offsets,
domain=bounds,
image=(f_min, f_max),
breakpoints=breakpoints,
rescaling_factor=rescaling_factor,
)
super().__init__(*european_call.qregs, name="ECEV")
self._data = european_call.data
self._european_call = european_call
[documentos] def post_processing(self, scaled_value: float) -> float:
"""Map the scaled value back to the original domain.
Args:
scaled_value: The scaled value.
Returns:
The scaled value mapped back to the original domain.
"""
return self._european_call.post_processing(scaled_value)