def BS_max_gamma(underlying, underlying_change, mtr, strike, vol):
if underlying_change < 0:
underlying_list = np.arange(underlying + underlying_change,
underlying + 1, 1)
else:
underlying_list = np.arange(underlying,
underlying + underlying_change + 1, 1)
max_result = 0
for st in underlying_list:
b_s = BlackScholes(st, 0, 0, mtr)
deri = b_s.BS_gamma_deri(strike, vol)
if abs(deri) > max_result:
max_result = abs(deri)
return max_result
def get_greeks(row, greek):
b_s = BlackScholes(row['underlying_price'], 0, 0, row['mtr'])
if greek == 'gamma':
result = b_s.BS_gamma(row['Strike'], row['m_mid_vol'])
elif greek == 'theta':
result = b_s.BS_theta(row['Strike'], row['m_mid_vol'], row['CallPut'])
elif greek == 'vega':
result = b_s.BS_vega(row['Strike'], row['m_mid_vol'])
elif greek == 'delta':
result = b_s.BS_delta(row['Strike'], row['m_mid_vol'], row['CallPut'])
elif greek == 'vanna':
result = b_s.BS_vanna(row['Strike'], row['m_mid_vol'])
elif greek == 'volga':
result = b_s.BS_volga(row['Strike'], row['m_mid_vol'])
elif greek == 'gamma_deri':
result = b_s.BS_gamma_deri(row['Strike'], row['m_mid_vol'])
return result