syncretism.greeks — org.clojars.tyruiop/syncretism 0.1.0

Following https://www.macroption.com/black-scholes-formula/

calc-annual-yield clj

(calc-annual-yield {:keys [annual-dividend-yield annual-dividend-rate
                           stock-price]})

calc-d1 clj

(calc-d1
  {s0 :stock-price q :yield X :strike t :t v :impliedVolatility :as data})

calc-d2 clj

(calc-d2 d1 v t)

calc-delta clj

(calc-delta {q :yield d1 :d1 t :t opt-type :opt-type})

calc-gamma clj

(calc-gamma {s0 :stock-price
             X :strike
             t :t
             v :impliedVolatility
             d1 :d1
             q :yield
             eqt :eqt
             :as data})

calc-theta clj

(calc-theta {X :strike
             t :t
             d1 :d1
             q :yield
             :as data
             v :impliedVolatility
             d2 :d2
             s0 :stock-price
             opt-type :opt-type
             eqt :eqt})

calc-vega clj

(calc-vega {s0 :stock-price
            X :strike
            t :t
            v :impliedVolatility
            d1 :d1
            eqt :eqt
            :as data})

calculate-greeks clj

(calculate-greeks {expiration :expiration v :impliedVolatility :as data})

cdf-normal clj

expiration-years clj

(expiration-years t)

rfr clj