Black
financepy.models.black
Classes
Black
Black(volatility: float, implementation_type: financepy.utils.global_types.BlackTypes = <BlackTypes.ANALYTICAL: 1>, num_steps: int = 0) -> None
Black model for European and American options on forwards/futures.
Methods
value
value(self, forward_rate: float, strike_rate: float, time_to_expiry: float, df: float, opt_type) -> float
No description available.
delta
delta(self, forward_rate: float, strike_rate: float, time_to_expiry: float, df: float, opt_type) -> float
No description available.
gamma
gamma(self, forward_rate: float, strike_rate: float, time_to_expiry: float, df: float, opt_type) -> float
No description available.
theta
theta(self, forward_rate: float, strike_rate: float, time_to_expiry: float, df: float, opt_type) -> float
No description available.
vega
vega(self, forward_rate: float, strike_rate: float, time_to_expiry: float, df: float, opt_type) -> float
No description available.
Functions
black_delta
black_delta(fwd: float, t: float, k: float, r: float, v: float, opt_type) -> float
No description available.
black_gamma
black_gamma(fwd: float, t: float, k: float, r: float, v: float, opt_type) -> float
No description available.
black_theta
black_theta(fwd: float, t: float, k: float, r: float, v: float, opt_type) -> float
No description available.
black_value
black_value(fwd: float, t: float, k: float, r: float, v: float, opt_type) -> float
No description available.
black_vega
black_vega(fwd: float, t: float, k: float, r: float, v: float, opt_type) -> float
No description available.
implied_volatility
implied_volatility(fwd: float, t: float, r: float, k: float, price: float, opt_type, debug_print: bool = False) -> float
Calculate Black implied volatility using Newton with bisection fallback.
Generated automatically from the FinancePy source code.
Do not edit this file manually.