BS: {
calcD1: ((h) => number);
calcD2: ((h) => number);
calcK: ((h, d2) => number);
calcND2: ((h, d1) => number);
calcS: ((h, phi) => number);
call: ((h) => number);
cdelta: ((h) => number);
crho: ((h) => number);
ctheta: ((h) => number);
gamma: ((h) => number);
pdelta: ((h) => number);
prho: ((h) => number);
ptheta: ((h) => number);
put: ((h) => number);
vega: ((h) => number);
} = ...
Type declaration
-
calcD1: ((h) => number)
-
- (h): number
-
Returns number
-
calcD2: ((h) => number)
-
- (h): number
-
Returns number
-
calcK: ((h, d2) => number)
-
- (h, d2): number
-
Returns number
-
calcND2: ((h, d1) => number)
-
- (h, d1): number
-
Returns number
-
calcS: ((h, phi) => number)
-
- (h, phi): number
-
Returns number
-
call: ((h) => number)
-
- (h): number
-
Returns number
Fair Price
-
cdelta: ((h) => number)
-
- (h): number
-
Returns number
call delta
-
crho: ((h) => number)
-
- (h): number
-
Returns number
call rho
-
ctheta: ((h) => number)
-
- (h): number
-
Returns number
call theta
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gamma: ((h) => number)
-
- (h): number
-
Returns number
gamma
-
pdelta: ((h) => number)
-
- (h): number
-
Returns number
put delta
-
prho: ((h) => number)
-
- (h): number
-
Returns number
put rho
-
ptheta: ((h) => number)
-
- (h): number
-
Returns number
put theta
-
put: ((h) => number)
-
- (h): number
-
Returns number
Fair Price
-
vega: ((h) => number)
-
- (h): number
-
Returns number
vega
Call: C = S * N(d1) - K * exp (-rt) * N(d2) Put: P = K * exp (-rt) * N(-d2) - S * N(-d1)