black
financepy.models.black
Class
Black
Black(
volatility: float,
implementation_type: 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.