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Merged
merged 8 commits into from
Dec 10, 2023
Merged

Options greeks and modeling utils #15

merged 8 commits into from
Dec 10, 2023

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0xAlcibiades
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@0xAlcibiades 0xAlcibiades commented Dec 9, 2023 •
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Expected to work in this PR:

  • Black-scholes
  • sigma (IV)
  • delta
  • gamma
  • theta
  • vega
  • rho

The rest of the stuff still needs more test cases, and it probably needs more test cases overall.

@0xAlcibiades 0xAlcibiades changed the title Add options greeks and modelling utils Add options greeks and modeling utils Dec 9, 2023
@0xAlcibiades 0xAlcibiades marked this pull request as draft December 9, 2023 04:04
@0xAlcibiades 0xAlcibiades changed the title Add options greeks and modeling utils [WIP] Add options greeks and modeling utils Dec 9, 2023
@0xAlcibiades 0xAlcibiades changed the title [WIP] Add options greeks and modeling utils Options greeks and modeling utils Dec 10, 2023
@0xAlcibiades 0xAlcibiades marked this pull request as ready for review December 10, 2023 02:46
@0xAlcibiades 0xAlcibiades merged commit 88a1a49 into main Dec 10, 2023
@0xAlcibiades 0xAlcibiades deleted the options-utils branch December 10, 2023 23:46
albertocevallos
albertocevallos reviewed Dec 11, 2023
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@0xAlcibiades @albertocevallos