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 option
  • x - The strike price of the option
  • t - time to expiration as a percentage of the year
  • r - continuously compounded risk-free interest rate
  • q - continuously compounded divident yield
  • sigma - volatility
  • days_per_year - the number of calendar days in the year