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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