without_carry
module jetblack_options.numeric_greeks.without_carry
Summary
Class for calculating numeric greeks for options using finite difference
Description
methods for the style with no carry or dividend yield.
class NumericGreeks
jetblack_options.numeric_greeks.without_carry.NumericGreeks(
) -> None
price: Callable[[float, float, float, float, float], float]
Parameters
price: Callable[[float, float, float, float, float], float]method NumericGreeks.charm
NumericGreeks.charm(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float,
dT: float
Parameters
S: floatReturns
float:method NumericGreeks.delta
NumericGreeks.delta(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float,
method: Literal['central', 'forward', 'backward']
Parameters
S: floatReturns
float:method NumericGreeks.deltap
NumericGreeks.deltap(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float
Parameters
S: floatReturns
float:method NumericGreeks.dgamma_dvol
NumericGreeks.dgamma_dvol(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float,
dv: float
Parameters
S: floatReturns
float:method NumericGreeks.elasticity
NumericGreeks.elasticity(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float,
method: Literal['central', 'forward', 'backward']
Parameters
S: floatReturns
float:method NumericGreeks.gamma
NumericGreeks.gamma(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float,
method: Literal['central', 'forward', 'backward']
Parameters
S: floatReturns
float:method NumericGreeks.gammap
NumericGreeks.gammap(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float,
method: Literal['central', 'forward', 'backward']
Parameters
S: floatReturns
float:method NumericGreeks.rho
NumericGreeks.rho(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dr: float,
method: Literal['central', 'forward', 'backward']
Parameters
S: floatReturns
float:method NumericGreeks.speed
NumericGreeks.speed(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float
Parameters
S: floatReturns
float:method NumericGreeks.strike_delta
NumericGreeks.strike_delta(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dX: float
Parameters
S: floatReturns
float:method NumericGreeks.strike_gamma
NumericGreeks.strike_gamma(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dX: float
Parameters
S: floatReturns
float:method NumericGreeks.theta
NumericGreeks.theta(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dT: float,
method: Literal['central', 'forward', 'backward']
Parameters
S: floatReturns
float:method NumericGreeks.time_gamma
NumericGreeks.time_gamma(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dT: float
Parameters
S: floatReturns
float:method NumericGreeks.vanna
NumericGreeks.vanna(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dS: float,
dv: float
Parameters
S: floatReturns
float:method NumericGreeks.vega
NumericGreeks.vega(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dv: float,
method: Literal['central', 'forward', 'backward']
Parameters
S: floatReturns
float:method NumericGreeks.vegap
NumericGreeks.vegap(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dv: float
Parameters
S: floatReturns
float:method NumericGreeks.vomma
NumericGreeks.vomma(
) -> float
S: float,
K: float,
T: float,
r: float,
v: float,
*,
dv: float