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