Ejemplo n.º 1
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def vega(flag, S, K, t, r, sigma, q):
    """Returns the Black-Scholes-Merton vega of an option.

    :param flag: 'c' or 'p' for call or put.
    :type flag: str
    :param S: underlying asset price
    :type S: float
    :param K: strike price
    :type K: float
    :param t: time to expiration in years
    :type t: float
    :param r: annual risk-free interest rate
    :type r: float
    :param sigma: volatility
    :type sigma: float
    :param q: annualized continuous dividend yield
    :type q: float

    :returns:  float 
    """
    return numerical_vega(flag, S, K, t, r, sigma, q, f)
Ejemplo n.º 2
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def vega(flag, S, K, t, r, sigma):
    """Return Black-Scholes vega of an option.

    :param S: underlying asset price
    :type S: float
    :param K: strike price
    :type K: float
    :param sigma: annualized standard deviation, or volatility
    :type sigma: float
    :param t: time to expiration in years
    :type t: float
    :param r: risk-free interest rate
    :type r: float
    :param flag: 'c' or 'p' for call or put.
    :type flag: str      

    """

    b = r

    return numerical_vega(flag, S, K, t, r, sigma, b, f)
Ejemplo n.º 3
0
def vega(flag, S, K, t, r, sigma):

    """Return Black-Scholes vega of an option.

    :param S: underlying asset price
    :type S: float
    :param K: strike price
    :type K: float
    :param sigma: annualized standard deviation, or volatility
    :type sigma: float
    :param t: time to expiration in years
    :type t: float
    :param r: risk-free interest rate
    :type r: float
    :param flag: 'c' or 'p' for call or put.
    :type flag: str      

    """

    b = r

    return numerical_vega(flag, S, K, t, r, sigma, b, f)
Ejemplo n.º 4
0
def vega(flag, S, K, t, r, sigma, q):

    """Returns the Black-Scholes-Merton vega of an option.

    :param flag: 'c' or 'p' for call or put.
    :type flag: str
    :param S: underlying asset price
    :type S: float
    :param K: strike price
    :type K: float
    :param t: time to expiration in years
    :type t: float
    :param r: annual risk-free interest rate
    :type r: float
    :param sigma: volatility
    :type sigma: float
    :param q: annualized continuous dividend yield
    :type q: float

    :returns:  float 
    """   
    return numerical_vega(flag, S, K, t, r, sigma, q, f)
Ejemplo n.º 5
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def vega(flag, F, K, t, r, sigma):
    """Returns the Black vega of an option.

    :param flag: 'c' or 'p' for call or put.
    :type flag: str
    :param F: underlying futures price
    :type F: float
    :param K: strike price
    :type K: float
    :param t: time to expiration in years
    :type t: float
    :param r: annual risk-free interest rate
    :type r: float
    :param sigma: volatility
    :type sigma: float

    :returns:  float 
    """

    b = 0

    return numerical_vega(flag, F, K, t, r, sigma, b, f)
Ejemplo n.º 6
0
def vega(flag, F, K, t, r, sigma):


    """Returns the Black vega of an option.

    :param flag: 'c' or 'p' for call or put.
    :type flag: str
    :param F: underlying futures price
    :type F: float
    :param K: strike price
    :type K: float
    :param t: time to expiration in years
    :type t: float
    :param r: annual risk-free interest rate
    :type r: float
    :param sigma: volatility
    :type sigma: float

    :returns:  float 
    """   
    
    b = 0

    return numerical_vega(flag, F, K, t, r, sigma, b, f)