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 |