Module blackscholes 

Structs

BlackScholesPricer

Functions

bs_charm

Black-Scholes charm, the change in spot delta per year of calendar time.

bs_price

Black-Scholes price of a European vanilla as a pure function of its inputs (no option object needed).

bs_vanna

Black-Scholes vanna, the change in spot delta per unit of volatility.

bs_vega

Black-Scholes vega as a pure function (per unit of vol).

bs_volga

Black-Scholes volga (vomma), the change in vega per unit of volatility, vega * d1 * d2 / sigma. Same for calls and puts (parity is volatility-independent); negative at the money, positive in the wings.

bs_zomma

Black-Scholes zomma, the change in spot gamma per unit of volatility.

implied_vol_from_price

Implied Black-Scholes volatility for a European vanilla price.