Function greeks::theta_put
[−]
[src]
pub fn theta_put(
s0: f64,
x: f64,
t: f64,
r: f64,
q: f64,
sigma: f64,
days_per_year: f64
) -> f64
Calculates the Theta of a put option
Theta measures the sensitivity of the value of the derivative to the passage of time.
Arguments
s0
- The underlying price of the optionx
- The strike price of the optiont
- time to expiration as a percentage of the yearr
- continuously compounded risk-free interest rateq
- continuously compounded divident yieldsigma
- volatilitydays_per_year
- the number of calendar days in the year