Crate greeks 

Functions

call_at_expiry

Calculates the value of a call option at Expiry

concentrated_delta

Calculates delta of a concentrated liquidity share Refer to https://gist.github.com/0xperp/fe5327d05b59c9122332d860adf2ba42 for a python notebook on the formulas

concentrated_gamma

Calculates gamma of a concentrated liquidity share Refer to https://gist.github.com/0xperp/fe5327d05b59c9122332d860adf2ba42 for a python notebook on the formulas

d1

d2

d2_d1

delta_call

Calculates the delta of a call option.

delta_put

Calculates the delta of a put options

euro_call

Evaluates the price of a European call option on an underlying which does not pay dividends before expiry of the option using the Black-Scholes model

euro_put

Evaluate the price of a European put option on an underlying which does not pay dividents before expiry of the option using the Black-Scholes model

gamma

Calculates the Gamma for an option

gamma_d1

lambda_call

Calculates the lambda of a call option, also known as Omega

lambda_put

Calculates the lambda of a put option, also known as Omega

one_over_sqrt_pi

put_at_expiry

Calculates the value of a put option at Expiry

rho_call

Calculates the Rho of a call option

rho_put

Calculates the Rho of a put option

sqth_delta

Calculates delta of a sqth position

sqth_gamma

Calculates gamma of a sqth position

sqth_theta

Calculates theta of a sqth position / yr

sqth_to_usd

Calculates squeeth price in USD

sqth_vega

Calculates vega of a sqth position / yr

theta_call

Calculates the Theta of a call option

theta_put

Calculates the Theta of a put option

vega

Calculates the Vega of a given option

vega_d1

virtual_liquidity

Calculates virtual liquidity of a concentrated liquidity share Refer to https://gist.github.com/0xperp/fe5327d05b59c9122332d860adf2ba42 for a python notebook on the formulas