get_greeks: Compute greeks for an option

In zumthor86/OptionsAnalytics: Provides advanced options strategies analytics

Usage

get_greeks(
  r = 0.05,
  b = 0.05,
  underlyer_annual_vol = 0.115,
  exposure = 1,
  time_to_mat,
  strike_price,
  underlyer_price,
  option_type,
  greek_selections = c("delta", "gamma", "vega", "theta")
)

Arguments

r

Annualized rate of interest, as a decimal, eg. 0.5 \ \item bAnnualized cost of carry as a decimal \item underlyer_annual_volAnnualized volatility of the underlyer as a decimal \item exposureAmount bet per point, eg. 1 \item time_to_matTime to maturity, in years \item strike_priceOption strike price \item underlyer_priceOption underlyer price \item option_type"c" or "p", call or put \item greek_selectionsGreeks to compute

Named list of option sensitivities/greeks: "delta", "gamma", "vega", "rho", "theta" Compute greeks for an option

zumthor86/OptionsAnalytics documentation built on Oct. 20, 2020, 1:15 p.m.