Crate greeks [] [src]

Functions

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