Index

B

binary_flag (in module py_vollib.black) (in module py_vollib.black_scholes_merton) (in module py_vollib.helpers) black() (in module py_vollib.black) (in module py_vollib.ref_python.black) black_call() (in module py_vollib.ref_python.black)

black_put() (in module py_vollib.ref_python.black) black_scholes() (in module py_vollib.black_scholes) (in module py_vollib.ref_python.black_scholes) black_scholes_merton() (in module py_vollib.black_scholes_merton) (in module py_vollib.ref_python.black_scholes_merton) bsm_call() (in module py_vollib.ref_python.black_scholes_merton) bsm_put() (in module py_vollib.ref_python.black_scholes_merton)

C

CALL (in module py_vollib.helpers)

CBND() (in module py_vollib.helpers.distributions) CND() (in module py_vollib.helpers.distributions)

D

d1() (in module py_vollib.ref_python.black) (in module py_vollib.ref_python.black_scholes) (in module py_vollib.ref_python.black_scholes_merton) d2() (in module py_vollib.ref_python.black) (in module py_vollib.ref_python.black_scholes) (in module py_vollib.ref_python.black_scholes_merton) delta() (in module py_vollib.black.greeks.analytical) (in module py_vollib.black.greeks.numerical) (in module py_vollib.black_scholes.greeks.analytical) (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.black_scholes_merton.greeks.analytical) (in module py_vollib.black_scholes_merton.greeks.numerical) (in module py_vollib.helpers.numerical_greeks) (in module py_vollib.ref_python.black.greeks.analytical) (in module py_vollib.ref_python.black.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.analytical) (in module py_vollib.ref_python.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black_scholes_merton.greeks.analytical) (in module py_vollib.ref_python.black_scholes_merton.greeks.numerical)

dS (in module py_vollib.helpers.numerical_greeks)

F

f (in module py_vollib.black.greeks.numerical) (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.black_scholes_merton.greeks.numerical) (in module py_vollib.ref_python.black.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black_scholes_merton.greeks.numerical)

FLOAT_MAX (in module py_vollib.helpers.constants) forward_price() (in module py_vollib.helpers)

G

gamma() (in module py_vollib.black.greeks.analytical) (in module py_vollib.black.greeks.numerical) (in module py_vollib.black_scholes.greeks.analytical) (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.black_scholes_merton.greeks.analytical) (in module py_vollib.black_scholes_merton.greeks.numerical) (in module py_vollib.helpers.numerical_greeks) (in module py_vollib.ref_python.black.greeks.analytical) (in module py_vollib.ref_python.black.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.analytical) (in module py_vollib.ref_python.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black_scholes_merton.greeks.analytical) (in module py_vollib.ref_python.black_scholes_merton.greeks.numerical)

H

hull_book_tests() (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.numerical)

I

implied_volatility() (in module py_vollib.black.implied_volatility) (in module py_vollib.black_scholes.implied_volatility) (in module py_vollib.black_scholes_merton.implied_volatility) (in module py_vollib.ref_python.black.implied_volatility) (in module py_vollib.ref_python.black_scholes.implied_volatility) (in module py_vollib.ref_python.black_scholes_merton.implied_volatility)

implied_volatility_of_discounted_option_price() (in module py_vollib.black.implied_volatility) implied_volatility_of_undiscounted_option_price() (in module py_vollib.black.implied_volatility) implied_volatility_of_undiscounted_option_price_limited_iterations() (in module py_vollib.black.implied_volatility) InvalidArgument

M

MINUS_FLOAT_MAX (in module py_vollib.helpers.constants) module py_vollib py_vollib.black py_vollib.black.greeks py_vollib.black.greeks.analytical py_vollib.black.greeks.numerical py_vollib.black.implied_volatility py_vollib.black_scholes py_vollib.black_scholes.greeks py_vollib.black_scholes.greeks.analytical py_vollib.black_scholes.greeks.numerical py_vollib.black_scholes.implied_volatility py_vollib.black_scholes_merton py_vollib.black_scholes_merton.greeks py_vollib.black_scholes_merton.greeks.analytical py_vollib.black_scholes_merton.greeks.numerical py_vollib.black_scholes_merton.implied_volatility py_vollib.helpers py_vollib.helpers.constants py_vollib.helpers.distributions py_vollib.helpers.doctest_helper py_vollib.helpers.exceptions py_vollib.helpers.numerical_greeks py_vollib.ref_python py_vollib.ref_python.black py_vollib.ref_python.black.greeks py_vollib.ref_python.black.greeks.analytical py_vollib.ref_python.black.greeks.numerical py_vollib.ref_python.black.implied_volatility py_vollib.ref_python.black_scholes py_vollib.ref_python.black_scholes.greeks py_vollib.ref_python.black_scholes.greeks.analytical py_vollib.ref_python.black_scholes.greeks.numerical py_vollib.ref_python.black_scholes.implied_volatility py_vollib.ref_python.black_scholes_merton py_vollib.ref_python.black_scholes_merton.greeks py_vollib.ref_python.black_scholes_merton.greeks.analytical py_vollib.ref_python.black_scholes_merton.greeks.numerical py_vollib.ref_python.black_scholes_merton.implied_volatility

N

N (in module py_vollib.ref_python.black) (in module py_vollib.ref_python.black.greeks.analytical) (in module py_vollib.ref_python.black_scholes) (in module py_vollib.ref_python.black_scholes.greeks.analytical) (in module py_vollib.ref_python.black_scholes_merton) (in module py_vollib.ref_python.black_scholes_merton.greeks.analytical)

normalised_black() (in module py_vollib.black) normalised_implied_volatility() (in module py_vollib.black.implied_volatility) normalised_implied_volatility_limited_iterations() (in module py_vollib.black.implied_volatility)

O

ONE_OVER_SQRT_TWO_PI (in module py_vollib.helpers)

P

pdf (in module py_vollib.helpers) PriceIsAboveMaximum PriceIsBelowIntrinsic PUT (in module py_vollib.helpers) py_vollib module py_vollib.black module py_vollib.black.greeks module py_vollib.black.greeks.analytical module py_vollib.black.greeks.numerical module py_vollib.black.implied_volatility module py_vollib.black_scholes module py_vollib.black_scholes.greeks module py_vollib.black_scholes.greeks.analytical module py_vollib.black_scholes.greeks.numerical module py_vollib.black_scholes.implied_volatility module py_vollib.black_scholes_merton module py_vollib.black_scholes_merton.greeks module py_vollib.black_scholes_merton.greeks.analytical module py_vollib.black_scholes_merton.greeks.numerical module py_vollib.black_scholes_merton.implied_volatility module py_vollib.helpers module py_vollib.helpers.constants module

py_vollib.helpers.distributions module py_vollib.helpers.doctest_helper module py_vollib.helpers.exceptions module py_vollib.helpers.numerical_greeks module py_vollib.ref_python module py_vollib.ref_python.black module py_vollib.ref_python.black.greeks module py_vollib.ref_python.black.greeks.analytical module py_vollib.ref_python.black.greeks.numerical module py_vollib.ref_python.black.implied_volatility module py_vollib.ref_python.black_scholes module py_vollib.ref_python.black_scholes.greeks module py_vollib.ref_python.black_scholes.greeks.analytical module py_vollib.ref_python.black_scholes.greeks.numerical module py_vollib.ref_python.black_scholes.implied_volatility module py_vollib.ref_python.black_scholes_merton module py_vollib.ref_python.black_scholes_merton.greeks module py_vollib.ref_python.black_scholes_merton.greeks.analytical module py_vollib.ref_python.black_scholes_merton.greeks.numerical module py_vollib.ref_python.black_scholes_merton.implied_volatility module

R

rho() (in module py_vollib.black.greeks.analytical) (in module py_vollib.black.greeks.numerical) (in module py_vollib.black_scholes.greeks.analytical) (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.black_scholes_merton.greeks.analytical) (in module py_vollib.black_scholes_merton.greeks.numerical) (in module py_vollib.helpers.numerical_greeks) (in module py_vollib.ref_python.black.greeks.analytical) (in module py_vollib.ref_python.black.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.analytical) (in module py_vollib.ref_python.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black_scholes_merton.greeks.analytical) (in module py_vollib.ref_python.black_scholes_merton.greeks.numerical)

run_doctest() (in module py_vollib.helpers.doctest_helper)

T

test() (in module py_vollib.black.greeks.numerical) (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.numerical) test_analytical_vs_numerical() (in module py_vollib.black_scholes_merton.greeks.numerical) (in module py_vollib.ref_python.black_scholes_merton.greeks.numerical) test_binary_flag() (in module py_vollib.helpers) theta() (in module py_vollib.black.greeks.analytical) (in module py_vollib.black.greeks.numerical) (in module py_vollib.black_scholes.greeks.analytical) (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.black_scholes_merton.greeks.analytical) (in module py_vollib.black_scholes_merton.greeks.numerical) (in module py_vollib.helpers.numerical_greeks) (in module py_vollib.ref_python.black.greeks.analytical) (in module py_vollib.ref_python.black.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.analytical) (in module py_vollib.ref_python.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black_scholes_merton.greeks.analytical) (in module py_vollib.ref_python.black_scholes_merton.greeks.numerical)

U

undiscounted_black() (in module py_vollib.black) (in module py_vollib.black_scholes)

V

vega() (in module py_vollib.black.greeks.analytical) (in module py_vollib.black.greeks.numerical) (in module py_vollib.black_scholes.greeks.analytical) (in module py_vollib.black_scholes.greeks.numerical) (in module py_vollib.black_scholes_merton.greeks.analytical) (in module py_vollib.black_scholes_merton.greeks.numerical) (in module py_vollib.helpers.numerical_greeks) (in module py_vollib.ref_python.black.greeks.analytical) (in module py_vollib.ref_python.black.greeks.numerical) (in module py_vollib.ref_python.black_scholes.greeks.analytical) (in module py_vollib.ref_python.black_scholes.greeks.numerical) (in module py_vollib.ref_python.black_scholes_merton.greeks.analytical) (in module py_vollib.ref_python.black_scholes_merton.greeks.numerical)