Expand description
Option Greeks data structures (delta, gamma, theta, vega, rho) used throughout the platform.
Structs§
- Black
Scholes Greeks Result - Result structure for Black-Scholes greeks calculations This is a separate f64 struct (not a type alias) for Python compatibility
- Greeks
Data - Portfolio
Greeks - Yield
Curve Data
Functions§
- black_
scholes_ greeks - Computes Black-Scholes greeks using the fast compute_greeks implementation. This function uses compute_greeks from black_scholes.rs which is optimized for performance.
- black_
scholes_ greeks_ exact - imply_
vol - imply_
vol_ and_ greeks - Computes implied volatility and greeks using the fast implementations. This function uses compute_greeks after implying volatility.
- refine_
vol_ and_ greeks - Refines implied volatility using an initial guess and computes greeks. This function uses compute_iv_and_greeks which performs a Halley iteration to refine the volatility estimate from an initial guess.