Crate greeks
Source - call_at_expiry
- Calculates the value of a call option at Expiry
- 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
- 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