Crate black_scholes

black_scholes

A Black Scholes option pricing library.

Structs

PricesAndGreeks

Functions

call

Returns standard BS call option formula.

call_charm

Returns charm of a BS call option

call_delta

Returns delta of a BS call option

call_discount

Returns BS call option formula with discount and volatility already computed.

call_gamma

Returns gamma of a BS call option

call_iv

Returns implied volatility from a call option

call_iv_guess

Returns implied volatility from a call option with initial guess

call_rho

Returns rho of a BS call option

call_theta

Returns theta of a BS call option

call_vanna

Returns vanna of a BS call option

call_vega

Returns vega of a BS call option

call_vomma

Returns vomma of a BS call option

compute_all

Returns call and put prices and greeks. Due to caching the complex computations (such as N(d1)), this implementation is faster if you need to obtain all the information for a given stock price and strike price.

put

Returns BS put option formula.

put_charm

Returns charm of a BS put option

put_delta

Returns delta of a BS put option

put_discount

Returns BS put option formula with discount and volatility already computed.

put_gamma

Returns gamma of a BS put option

put_iv

Returns implied volatility from a put option

put_iv_guess

Returns implied volatility from a put option with initial guess

put_rho

Returns rho of a BS put option

put_theta

Returns theta of a BS put option

put_vanna

Returns vanna of a BS put option

put_vega

Returns vega of a BS put option

put_vomma

Returns vomma of a BS put option