pub fn black_scholes_greeks_checked(
s: f64,
r: f64,
b: f64,
vol: f64,
is_call: bool,
k: f64,
t: f64,
db_dr: f64,
) -> Result<BlackScholesGreeksResult, OptionValuationError>Expand description
Computes validated Greeks with an explicit sensitivity of carry to the interest rate.
db_dr is zero for fixed carry and one for carry defined as r - q, even when r == q.
Rho measures the price change for a one percentage point rate move.
The exact implementation is used when the fast result is nonfinite or inconsistent.
ยงErrors
Returns an error if:
- Model inputs are invalid.
- Valuation results are nonfinite or inconsistent.