Index

B

bachelier() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_delta() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_digital() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_digital_delta() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_digital_gamma() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_digital_vega() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_gamma() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_straddle() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_straddle_delta() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_straddle_gamma() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_straddle_vega() (in module putcall.formulas.interest_rate_options.bachelier) bachelier_vega() (in module putcall.formulas.interest_rate_options.bachelier) binary_mr_hw_calibration_cap_floor() (in module putcall.calibration.hw_calibration) binary_vol_hw_calibration_cap_floor() (in module putcall.calibration.hw_calibration)

black() (in module putcall.formulas.interest_rate_options.black76) black_delta() (in module putcall.formulas.interest_rate_options.black76) black_digital() (in module putcall.formulas.interest_rate_options.black76) black_digital_delta() (in module putcall.formulas.interest_rate_options.black76) black_digital_gamma() (in module putcall.formulas.interest_rate_options.black76) black_digital_vega() (in module putcall.formulas.interest_rate_options.black76) black_gamma() (in module putcall.formulas.interest_rate_options.black76) black_scholes() (in module putcall.formulas.plain_vanilla_options.blackscholes) black_scholes_digital() (in module putcall.formulas.plain_vanilla_options.blackscholes) black_straddle() (in module putcall.formulas.interest_rate_options.black76) black_straddle_delta() (in module putcall.formulas.interest_rate_options.black76) black_straddle_gamma() (in module putcall.formulas.interest_rate_options.black76) black_straddle_vega() (in module putcall.formulas.interest_rate_options.black76) black_vega() (in module putcall.formulas.interest_rate_options.black76) brute_hw_calibration_cap_floor() (in module putcall.calibration.hw_calibration)

C

CALL (putcall.optionvaluator.OptionType attribute)

D

delta() (putcall.optionvaluator.OptionValuator method) DIGITAL_CALL (putcall.optionvaluator.OptionType attribute)

digital_option_payoff() (in module putcall.formulas.option_payoffs) DIGITAL_PUT (putcall.optionvaluator.OptionType attribute)

F

forward_black_scholes() (in module putcall.formulas.plain_vanilla_options.blackscholes)

forward_black_scholes_digital() (in module putcall.formulas.plain_vanilla_options.blackscholes)

G

gamma() (putcall.optionvaluator.OptionValuator method)

H

hw_cap_floor_let() (in module putcall.formulas.interest_rate_options.hullwhite)

hw_discount_bond_option() (in module putcall.formulas.interest_rate_options.hullwhite)

I

implied_vol() (putcall.calibration.implied_volatility.ImpliedVolCalculator method) (putcall.optionvaluator.OptionValuator method) (putcall.optionvaluator.OptionValuatorIntrinsic method) (putcall.optionvaluator.OptionValuatorSLN method)

ImpliedVolCalculator (class in putcall.calibration.implied_volatility) ImpliedVolCalculator.ImpliedVolErrorFunction (class in putcall.calibration.implied_volatility)

M

MAX_VOL_FOR_IMPLIED_VOL (putcall.calibration.implied_volatility.ImpliedVolCalculator attribute)

O

option_payoff() (in module putcall.formulas.option_payoffs) option_value() (putcall.calibration.implied_volatility.OptionValueByVolatility method) (putcall.optionvaluator.OptionValuator method) OptionType (class in putcall.optionvaluator) OptionValuator (class in putcall.optionvaluator)

OptionValuatorIntrinsic (class in putcall.optionvaluator) OptionValuatorLN (class in putcall.optionvaluator) OptionValuatorN (class in putcall.optionvaluator) OptionValuatorSLN (class in putcall.optionvaluator) OptionValueByVolatility (class in putcall.calibration.implied_volatility)

P

PUT (putcall.optionvaluator.OptionType attribute) putcall (module) putcall.calibration.black_calibration (module) putcall.calibration.hw_calibration (module) putcall.calibration.implied_volatility (module) putcall.formulas.interest_rate_options.bachelier (module)

putcall.formulas.interest_rate_options.black76 (module) putcall.formulas.interest_rate_options.hullwhite (module) putcall.formulas.interest_rate_options.sabr (module) putcall.formulas.option_payoffs (module) putcall.formulas.plain_vanilla_options.blackscholes (module) putcall.optionvaluator (module)

S

sabr_alpha_from_atm() (in module putcall.formulas.interest_rate_options.sabr) sabr_atmadj_black_vol() (in module putcall.formulas.interest_rate_options.sabr)

sabr_black_vol() (in module putcall.formulas.interest_rate_options.sabr) STRADDLE (putcall.optionvaluator.OptionType attribute) straddle_payoff() (in module putcall.formulas.option_payoffs)

V

vega() (putcall.optionvaluator.OptionValuator method)

VOL_CALIB_TOL (putcall.calibration.implied_volatility.ImpliedVolCalculator attribute)