- delta
Computes the forward driftless delta.
- driftlessTheta
Computes the forward driftless theta.
- gamma
Computes the forward driftless gamma. This is the second order sensitivity of
the forward option val
- impliedStrike
Computes the implied strike and its derivatives from delta and volatility in the
Black formula.
- impliedVolatility
Computes the log-normal implied volatility.
- impliedVolatilityAdjoint
Computes the log-normal implied volatility and its derivative with respect to
price.
- impliedVolatilityFromNormalApproximated2
Compute the normal implied volatility from a normal volatility using an
approximate explicit formula
- impliedVolatilityFromNormalApproximatedAdjoint
Compute the log-normal implied volatility from a normal volatility using an
approximate initial gues
- price
Computes the forward price.
- priceAdjoint
Computes the price without numeraire and its derivatives. The derivatives are in
the following order
- priceAdjoint2
Computes the price without numeraire and its derivatives of the first and second
order. The first or
- vega
Computes the forward vega. This is the sensitivity of the option's forward price
wrt the implied vol