Calculations of option greeks - delta, gamma, theta, vega, rho
Common parameters
- s - Current price of the underlying
- k - Strike price
- t - Time to expiration in years
- v - Volatility as a decimal
- r - Annual risk-free interest rate as a decimal
- callPut - The type of option to be priced - "call" or "put"
- [scale] - The value to scale a return value by
Usage
var greeks = require("greeks");
// Delta
greeks.getDelta(100, 100, .086, .1, .0015, "call"); // 0.5076040742445566
greeks.getDelta(100, 100, .086, .1, .0015, "put"); // -0.49239592575544344
// Gamma - call and put gammas are equal at a given strike
greeks.getGamma(206.35, 206, .086, .1, .0015); // 0.06573105549942765
// Vega - call and put vegas are equal at a given strike
// Note: vega is calculated per 1 percentage point change in volatility
greeks.getVega(206.35, 206, .086, .1, .0015); // 0.24070106056306836
// Theta - the default scale is 365 (days per year)
greeks.getTheta(206.35, 206, .086, .1, .0015, "call"); // -0.03877971361524501
greeks.getTheta(206.35, 206, .086, .1, .0015, "put"); // -0.0379332474739548
// or you can set the scale to a value like 252 (trading days per year)
greeks.getTheta(206.35, 206, .086, .1, .0015, "call", 252); // -0.05616902964112869
greeks.getTheta(206.35, 206, .086, .1, .0015, "put", 252); // -0.054942997333307556
// Rho - the default scale is 100 (rho per 1%, or 100BP, change in the risk-free interest rate)
greeks.getRho(206.35, 206, .086, .1, .0015, "call"); // 0.09193271711465777
greeks.getRho(206.35, 206, .086, .1, .0015, "put"); // -0.08520443071933861
// or you can set the scale to a value like 10000 (rho per .01%, or 1BP, change in the risk-free interest rate)
greeks.getRho(206.35, 206, .086, .1, .0015, "call", 10000); // 0.0009193271711465777
greeks.getRho(206.35, 206, .086, .1, .0015, "put", 10000); // -0.0008520443071933862