greeks's Introduction

greeks

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

greeks's Issues

What reference to use for risk free interest rate?

Great little library to use.
When calculating delta, there is a r argument required which is labeled as 'Annual risk-free interest rate as a decimal'.
What reference or benchmark or whatever to use to know what this should be for delta?
Should it be the 10-year treasury rate?

Recommend Projects