Why Go
- Case Studies
  
  Common problems companies solve with Go
- Use Cases
  
  Stories about how and why companies use Go
- Security
  
  How Go can help keep you secure by default
Learn
Docs
- Effective Go
  
  Tips for writing clear, performant, and idiomatic Go code
- Go User Manual
  
  A complete introduction to building software with Go
- Standard library
  
  Reference documentation for Go's standard library
- Release Notes
  
  Learn what's new in each Go release
Packages
Community
- Recorded Talks
  
  Videos from prior events
- Meetups
  
  Meet other local Go developers
- Conferences
  
  Learn and network with Go developers from around the world
- Go blog
  
  The Go project's official blog.
- Go project
  
  Get help and stay informed from Go
- Get connected

blackscholes

package module

Go to main page

Versions in this module

v0

v0.2.0

Feb 26, 2025

Changes in this version

+ var ErrMaxIterations = errors.New("max iterations exceeded")

+ var ErrNegVol = errors.New("Negative volatility")

+ var ErrNegativeEpsilon = errors.New("epsilon must be positive")

+ func DeltaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (delta float64, err error)

+ func DeltaZeroSpot(t, q float64, o OptionType) float64

+ func DeltaZeroStrike(t, q float64, o OptionType) float64

+ func DeltaZeroVol(t, x, k, r, q float64, o OptionType) float64

+ func GammaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (gamma float64, err error)

+ func GammaZeroVol(t, x, k, r, q float64) float64

+ func NormPDF(x float64) float64

+ func PriceSim(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (price float64, err error)

+ func PriceZeroSpot(t, k, r float64, o OptionType) float64

+ func PriceZeroStrike(t, x, q float64, o OptionType) float64

+ func ThetaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (theta float64, err error)

+ func ThetaZeroSpot(t, k, r float64, o OptionType) float64

+ func ThetaZeroStrike(t, x, q float64, o OptionType) float64

+ func ThetaZeroVol(t, x, k, r, q float64, o OptionType) float64

+ func VegaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (vega float64, err error)

type ImpliedVolParams

+ LowerBound *float64

+ MaxIterations *int

+ Tolerance *float64

+ UpperBound *float64

v0.1.1

Feb 27, 2021

v0.1.0

Feb 3, 2021

Changes in this version

+ const Call

+ const InvSqrt2PI

+ const MaxItDefault

+ const Put

+ const Straddle

+ var ErrNegPremium = errors.New("Negative option premium")

+ var ErrNegPrice = errors.New("Negative underlying price")

+ var ErrNegStrike = errors.New("Negative strike")

+ var ErrNegTimeToExp = errors.New("Negative time to expiry")

+ var ErrNilPtrArg = errors.New("Nil pointer argument")

+ var ErrNoncovergence = errors.New("Did not converge")

+ var ErrUnknownOptionType = errors.New("Unknown option type")

+ func AtmApprox(v, t, x, q float64, o OptionType) float64

+ func BSDelta(v, t, x, k, r, q float64, o OptionType) float64

+ func BSDeltaNum(v, t, x, k, r, q float64, o OptionType, eps float64) float64

+ func BSGamma(v, t, x, k, r, q float64, o OptionType) float64

+ func BSGammaNum(v, t, x, k, r, q float64, o OptionType, eps float64) float64

+ func BSPrice(v, t, x, k, r, q float64, o OptionType) float64

+ func BSPriceNoErrorCheck(v, t, x, k, r, q float64, o OptionType) float64

+ func BSPriceSim(v, t, x, k, r, q float64, o OptionType, n uint) float64

+ func BSTheta(v, t, x, k, r, q float64, o OptionType) float64

+ func BSThetaNum(v, t, x, k, r, q float64, o OptionType, eps float64) float64

+ func BSVega(v, t, x, k, r, q float64, o OptionType) float64

+ func BSVegaNum(v, t, x, k, r, q float64, o OptionType, eps float64) float64

+ func CheckPriceParams(t, x, k float64, o OptionType) error

+ func CheckVolSearchParams(lb, ub, tol *float64, maxit *int)

+ func CorrectVolSign(extrinsic float64, vol *float64)

+ func D1(v, t, x, k, r, q float64) float64

+ func D2(v, t, x, k, r, q float64) float64

+ func D2fromD1(d1, v, t float64) float64

+ func Delta(pars *PriceParams) (delta float64, err error)

+ func Gamma(pars *PriceParams) (gamma float64, err error)

+ func GetFloatPriceParams(pars *PriceParams) (v, t, x, k, r, q float64)

+ func GetFloatVolParams(pars *ImpliedVolParams) (p, t, x, k, r, q float64)

+ func GetVolSearchParams(pars *ImpliedVolParams) (lb, ub, tol float64, maxit int)

+ func ImpliedVol(pars *ImpliedVolParams) (vol float64, err error)

+ func Intrinsic(t, x, k, r, q float64, o OptionType) float64

+ func NormCDF(x float64) float64

+ func NormCDFInverse(q float64) float64

+ func Price(pars *PriceParams) (price float64, err error)

+ func Theta(pars *PriceParams) (theta float64, err error)

+ func ValidOptionType(o OptionType) bool

+ func Vega(pars *PriceParams) (vega float64, err error)

+ func ZeroStrikeBSDelta(t, q float64, o OptionType) float64

+ func ZeroStrikeBSPrice(t, x, q float64, o OptionType) float64

+ func ZeroStrikeBSTheta(t, x, q float64, o OptionType) float64

+ func ZeroUnderlyingBSDelta(t, q float64, o OptionType) float64

+ func ZeroUnderlyingBSPrice(t, k, r float64, o OptionType) float64

+ func ZeroUnderlyingBSTheta(t, k, r float64, o OptionType) float64

+ func ZeroVolBSDelta(t, x, k, r, q float64, o OptionType) float64

+ func ZeroVolBSGamma(t, x, k, r, q float64) float64

+ func ZeroVolBSTheta(t, x, k, r, q float64, o OptionType) float64

+ type ImpliedVolParams struct

+ Dividend float64

+ LB *float64

+ MaxIt *int

+ Premium float64

+ Rate float64

+ Strike float64

+ TimeToExpiry float64

+ Tol *float64

+ Type OptionType

+ UB *float64

+ Underlying float64

+ type OptionType rune

+ type PriceParams struct

+ Dividend float64

+ Rate float64

+ Strike float64

+ TimeToExpiry float64

+ Type OptionType

+ Underlying float64

+ Vol float64