Index

B

black() (in module vollib.black) (in module vollib.ref_python.black) black_call() (in module vollib.ref_python.black) black_put() (in module vollib.ref_python.black) black_scholes() (in module vollib.black_scholes) (in module vollib.ref_python.black_scholes)

black_scholes_merton() (in module vollib.black_scholes_merton) (in module vollib.ref_python.black_scholes_merton) bsm_call() (in module vollib.ref_python.black_scholes_merton) bsm_put() (in module vollib.ref_python.black_scholes_merton)

C

CBND() (in module vollib.helpers.distributions)

CND() (in module vollib.helpers.distributions)

D

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

F

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

forward_price() (in module vollib.helpers)

G

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

H

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

I

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

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

M

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

N

N() (in module vollib.ref_python.black) normalised_black() (in module vollib.black)

normalised_implied_volatility() (in module vollib.black.implied_volatility) normalised_implied_volatility_limited_iterations() (in module vollib.black.implied_volatility)

P

pdf() (in module vollib.helpers)

PriceIsAboveMaximum PriceIsBelowIntrinsic

R

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

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

T

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

U

undiscounted_black() (in module vollib.black)

V

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

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