API Reference / Greeks
Interface: Greeks
Defined in: src/analytics/blackScholes.ts:19
Properties
delta
delta:
number
Defined in: src/analytics/blackScholes.ts:20
gamma
gamma:
number
Defined in: src/analytics/blackScholes.ts:21
theta
theta:
number
Defined in: src/analytics/blackScholes.ts:23
Per-day theta, i.e. the annual figure divided by 365.
vega
vega:
number
Defined in: src/analytics/blackScholes.ts:25
Per 1% change in volatility.
rho
rho:
number
Defined in: src/analytics/blackScholes.ts:27
Per 1% change in the risk-free rate.