Index

A

almost_equal() (in module vollib.tests.test_utils)

B

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

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

D

d1() (in module vollib.black) (in module vollib.black_scholes) (in module vollib.black_scholes_merton) d2() (in module vollib.black) (in module vollib.black_scholes) (in module vollib.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.helper.numerical_greeks)

F

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

forward_price() (in module vollib.helper)

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.helper.numerical_greeks)

H

has_next() (vollib.tests.test_utils.TestDataIterator method)

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

I

implied_volatility() (in module vollib.black_scholes.implied_volatility) (in module vollib.black_scholes_merton.implied_volatility) implied_volatility_limited_iterations() (in module vollib.black_scholes.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)

N

next_row() (vollib.tests.test_utils.TestDataIterator method) 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.helper)

python_black_scholes() (in module vollib.black_scholes) python_black_scholes_merton() (in module vollib.black_scholes_merton)

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.helper.numerical_greeks)

S

setUp() (vollib.tests.test_black_scholes.TestBlackScholesAgainstBenchmarkValues method)

T

test() (in module vollib.black.greeks.numerical) (in module vollib.black_scholes.greeks.numerical) test_analytical_delta() (vollib.tests.test_black_scholes.TestBlackScholesAgainstBenchmarkValues method) test_analytical_gamma() (vollib.tests.test_black_scholes.TestBlackScholesAgainstBenchmarkValues method) test_analytical_rho() (vollib.tests.test_black_scholes.TestBlackScholesAgainstBenchmarkValues method) test_analytical_vega() (vollib.tests.test_black_scholes.TestBlackScholesAgainstBenchmarkValues method) test_binary_flag() (in module vollib.helper) test_delta() (vollib.tests.test_black_scholes_greeks.testGreeks method) test_gamma() (vollib.tests.test_black_scholes_greeks.testGreeks method) test_implied_volatility() (vollib.tests.test_black_scholes.TestBlackScholesAgainstBenchmarkValues method) test_prices() (vollib.tests.test_black_scholes.TestBlackScholesAgainstBenchmarkValues method) (vollib.tests.test_black_scholes_greeks.testGreeks method)

test_python_vs_c_values() (in module vollib.black) test_rho() (vollib.tests.test_black_scholes_greeks.testGreeks method) test_theta() (vollib.tests.test_black_scholes_greeks.testGreeks method) test_vega() (vollib.tests.test_black_scholes_greeks.testGreeks method) TestBlackScholesAgainstBenchmarkValues (class in vollib.tests.test_black_scholes) TestDataIterator (class in vollib.tests.test_utils) testGreeks (class in vollib.tests.test_black_scholes_greeks) 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.helper.numerical_greeks)

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.helper.numerical_greeks) 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.implied_volatility (module) vollib.helper (module) vollib.helper.numerical_greeks (module) vollib.tests (module) vollib.tests.test_black_scholes (module) vollib.tests.test_black_scholes_greeks (module) vollib.tests.test_utils (module)