Skip to main content

Module greeks

nautilus_model::data

Module greeks 

Source
Expand description

Option Greeks data structures (delta, gamma, theta, vega, rho) used throughout the platform.

Structs§

BlackScholesGreeksResult
GreeksData
ImplyVolAndGreeksResult
PortfolioGreeks
YieldCurveData

Functions§

black_scholes_greeks
imply_vol
imply_vol_and_greeks