pub fn py_black_scholes_greeks(
s: f64,
r: f64,
b: f64,
vol: f64,
is_call: bool,
k: f64,
t: f64,
db_dr: f64,
) -> PyResult<BlackScholesGreeksResult>Expand description
Computes Black-Scholes greeks using the fast compute_greeks implementation.
This function uses compute_greeks from black_scholes.rs which is optimized for performance.
db_dr is zero for fixed carry and one for carry defined as r - q, including r == q.
Rho is per percentage point.
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.