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Module greeks

nautilus_model::python::data

Module greeks 

Source

Functionsยง

py_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.
py_imply_vol
Computes the implied volatility for an option given its parameters and market price.
py_imply_vol_and_greeks
Computes implied volatility and greeks using the fast implementations. This function uses compute_greeks after implying volatility.
py_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.