volax 0.1.0__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- volax-0.1.0/PKG-INFO +42 -0
- volax-0.1.0/README.md +21 -0
- volax-0.1.0/pyproject.toml +40 -0
- volax-0.1.0/volax/__init__.py +13 -0
- volax-0.1.0/volax/greek.py +472 -0
- volax-0.1.0/volax/math/__init__.py +5 -0
- volax-0.1.0/volax/math/integration/__init__.py +5 -0
- volax-0.1.0/volax/math/integration/gauss_constants.py +309 -0
- volax-0.1.0/volax/math/integration/gauss_legendre.py +69 -0
- volax-0.1.0/volax/models/__init__.py +11 -0
- volax-0.1.0/volax/models/bjerksund_stensland_1993.py +188 -0
- volax-0.1.0/volax/models/bjerksund_stensland_2002.py +299 -0
- volax-0.1.0/volax/models/black_scholes.py +141 -0
- volax-0.1.0/volax/models/crr_binomial.py +192 -0
- volax-0.1.0/volax/vol.py +300 -0
volax-0.1.0/PKG-INFO
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Metadata-Version: 2.3
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Name: volax
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Version: 0.1.0
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Summary: A library for differentiable option pricing.
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Author: VolSight
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Author-email: VolSight <volsight.inquiries@gmail.com>
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Classifier: Programming Language :: Python :: 3
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Classifier: Programming Language :: Python :: 3.11
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Classifier: Programming Language :: Python :: 3.12
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Classifier: Programming Language :: Python :: 3.13
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Classifier: Programming Language :: Python :: 3.14
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Requires-Dist: jax>=0.7.0
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Requires-Dist: chex>=0.1.89
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Requires-Dist: optax>=0.2.8
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Requires-Dist: jax[cuda12] ; extra == 'cuda12'
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Requires-Dist: jax[cuda13] ; extra == 'cuda13'
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Requires-Python: >=3.11
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Provides-Extra: cuda12
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Provides-Extra: cuda13
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Description-Content-Type: text/markdown
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# volax: A python library for differentiable option pricing.
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## Table of Contents
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1. [Introduction](#introduction)
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2. [Installation](#installation)
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## Introduction
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This library implements option pricing models in a manner which allows for differentiation by [JAX](https://docs.jax.dev/en/latest/)'s AutoGrad functionality.
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## Installation
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The easist way to install the library is via the pip package for your platform:
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| Platform | Instructions |
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|---------------------------|---------------------------------------|
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| CPU | `pip install -U volax` |
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| NVIDIA GPU w/CUDA12 | `pip install -U "volax[cuda12]"` |
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| NVIDIA GPU w/CUDA13 | `pip install -U "volax[cuda13]"` |
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The difference between each package is the version of JAX that will be installed.
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volax-0.1.0/README.md
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# volax: A python library for differentiable option pricing.
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## Table of Contents
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1. [Introduction](#introduction)
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2. [Installation](#installation)
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## Introduction
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This library implements option pricing models in a manner which allows for differentiation by [JAX](https://docs.jax.dev/en/latest/)'s AutoGrad functionality.
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## Installation
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The easist way to install the library is via the pip package for your platform:
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| Platform | Instructions |
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|---------------------------|---------------------------------------|
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| CPU | `pip install -U volax` |
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| NVIDIA GPU w/CUDA12 | `pip install -U "volax[cuda12]"` |
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| NVIDIA GPU w/CUDA13 | `pip install -U "volax[cuda13]"` |
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The difference between each package is the version of JAX that will be installed.
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[project]
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name = "volax"
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version = "0.1.0"
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description = "A library for differentiable option pricing."
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authors = [{ name = "VolSight", email = "volsight.inquiries@gmail.com" }]
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requires-python = ">= 3.11"
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readme = "README.md"
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classifiers = [
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"Programming Language :: Python :: 3",
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"Programming Language :: Python :: 3.11",
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"Programming Language :: Python :: 3.12",
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"Programming Language :: Python :: 3.13",
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"Programming Language :: Python :: 3.14",
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]
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dependencies = [
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"jax>= 0.7.0",
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"chex>= 0.1.89",
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"optax>=0.2.8",
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]
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[project.optional-dependencies]
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cuda13 = [
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"jax[cuda13]",
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]
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cuda12 = [
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"jax[cuda12]",
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]
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[dependency-groups]
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test = ["pytest>= 8.3.5"]
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[tool.uv]
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default-groups = "all"
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[tool.uv.build-backend]
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module-root = ""
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[build-system]
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requires = ["uv_build>=0.10.11,<0.12.0"]
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build-backend = "uv_build"
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from jax import grad
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from jax import Array
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from jax.typing import ArrayLike
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from typing import Callable
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__all__ = [
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'delta',
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'gamma',
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'vega',
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'theta',
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'rho',
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'phi',
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'charm',
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'vanna',
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'volga',
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'veta',
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'vera',
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'speed',
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'zomma',
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'color',
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'ultima',
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'parmicharma'
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]
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def delta(
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model: Callable,
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
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forwards: ArrayLike | None = None,
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discount_rates: ArrayLike | None = None,
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dividend_rates: ArrayLike | None = None,
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discount_factors: ArrayLike | None = None,
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is_call_options: ArrayLike | None = None,
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*args,
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**kwargs
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) -> Array:
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return grad(model, 3)(
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volatilities,
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strikes,
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expiries,
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spots,
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forwards,
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discount_rates,
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dividend_rates,
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discount_factors,
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is_call_options,
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*args,
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**kwargs
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)
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def gamma(
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model: Callable,
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
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forwards: ArrayLike | None = None,
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discount_rates: ArrayLike | None = None,
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dividend_rates: ArrayLike | None = None,
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discount_factors: ArrayLike | None = None,
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is_call_options: ArrayLike | None = None,
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*args,
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**kwargs
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) -> Array:
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return grad(grad(model, 3), 3)(
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volatilities,
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strikes,
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expiries,
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spots,
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forwards,
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discount_rates,
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dividend_rates,
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discount_factors,
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is_call_options,
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*args,
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**kwargs
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)
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def vega(
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model: Callable,
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
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forwards: ArrayLike | None = None,
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discount_rates: ArrayLike | None = None,
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dividend_rates: ArrayLike | None = None,
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discount_factors: ArrayLike | None = None,
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is_call_options: ArrayLike | None = None,
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*args,
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**kwargs
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) -> Array:
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return grad(model, 0)(
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volatilities,
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strikes,
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expiries,
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spots,
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forwards,
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discount_rates,
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dividend_rates,
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discount_factors,
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is_call_options,
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*args,
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**kwargs
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)
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def theta(
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model: Callable,
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
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forwards: ArrayLike | None = None,
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discount_rates: ArrayLike | None = None,
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dividend_rates: ArrayLike | None = None,
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discount_factors: ArrayLike | None = None,
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is_call_options: ArrayLike | None = None,
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*args,
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**kwargs
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) -> Array:
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return grad(model, 2)(
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volatilities,
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strikes,
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expiries,
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spots,
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forwards,
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discount_rates,
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dividend_rates,
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discount_factors,
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is_call_options,
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*args,
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**kwargs
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)
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def rho(
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
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forwards: ArrayLike | None = None,
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discount_rates: ArrayLike | None = None,
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dividend_rates: ArrayLike | None = None,
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discount_factors: ArrayLike | None = None,
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is_call_options: ArrayLike | None = None,
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*args,
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**kwargs
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) -> Array:
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return grad(model, 5)(
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expiries,
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discount_rates,
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dividend_rates,
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is_call_options,
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*args,
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**kwargs
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)
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def phi(
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model: Callable,
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
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forwards: ArrayLike | None = None,
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discount_rates: ArrayLike | None = None,
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dividend_rates: ArrayLike | None = None,
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discount_factors: ArrayLike | None = None,
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is_call_options: ArrayLike | None = None,
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*args,
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**kwargs
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) -> Array:
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return grad(model, 6)(
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**kwargs
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)
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def charm(
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model: Callable,
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
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forwards: ArrayLike | None = None,
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discount_rates: ArrayLike | None = None,
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dividend_rates: ArrayLike | None = None,
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discount_factors: ArrayLike | None = None,
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is_call_options: ArrayLike | None = None,
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*args,
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**kwargs
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) -> Array:
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return grad(grad(model, 3), 2)(
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dividend_rates,
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is_call_options,
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**kwargs
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)
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def vanna(
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model: Callable,
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volatilities: ArrayLike,
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strikes: ArrayLike,
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expiries: ArrayLike,
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spots: ArrayLike | None = None,
|
|
228
|
+
forwards: ArrayLike | None = None,
|
|
229
|
+
discount_rates: ArrayLike | None = None,
|
|
230
|
+
dividend_rates: ArrayLike | None = None,
|
|
231
|
+
discount_factors: ArrayLike | None = None,
|
|
232
|
+
is_call_options: ArrayLike | None = None,
|
|
233
|
+
*args,
|
|
234
|
+
**kwargs
|
|
235
|
+
) -> Array:
|
|
236
|
+
return grad(grad(model, 0), 3)(
|
|
237
|
+
volatilities,
|
|
238
|
+
strikes,
|
|
239
|
+
expiries,
|
|
240
|
+
spots,
|
|
241
|
+
forwards,
|
|
242
|
+
discount_rates,
|
|
243
|
+
dividend_rates,
|
|
244
|
+
discount_factors,
|
|
245
|
+
is_call_options,
|
|
246
|
+
*args,
|
|
247
|
+
**kwargs
|
|
248
|
+
)
|
|
249
|
+
|
|
250
|
+
def volga(
|
|
251
|
+
model: Callable,
|
|
252
|
+
volatilities: ArrayLike,
|
|
253
|
+
strikes: ArrayLike,
|
|
254
|
+
expiries: ArrayLike,
|
|
255
|
+
spots: ArrayLike | None = None,
|
|
256
|
+
forwards: ArrayLike | None = None,
|
|
257
|
+
discount_rates: ArrayLike | None = None,
|
|
258
|
+
dividend_rates: ArrayLike | None = None,
|
|
259
|
+
discount_factors: ArrayLike | None = None,
|
|
260
|
+
is_call_options: ArrayLike | None = None,
|
|
261
|
+
*args,
|
|
262
|
+
**kwargs
|
|
263
|
+
) -> Array:
|
|
264
|
+
return grad(grad(model, 0), 0)(
|
|
265
|
+
volatilities,
|
|
266
|
+
strikes,
|
|
267
|
+
expiries,
|
|
268
|
+
spots,
|
|
269
|
+
forwards,
|
|
270
|
+
discount_rates,
|
|
271
|
+
dividend_rates,
|
|
272
|
+
discount_factors,
|
|
273
|
+
is_call_options,
|
|
274
|
+
*args,
|
|
275
|
+
**kwargs
|
|
276
|
+
)
|
|
277
|
+
|
|
278
|
+
def veta(
|
|
279
|
+
model: Callable,
|
|
280
|
+
volatilities: ArrayLike,
|
|
281
|
+
strikes: ArrayLike,
|
|
282
|
+
expiries: ArrayLike,
|
|
283
|
+
spots: ArrayLike | None = None,
|
|
284
|
+
forwards: ArrayLike | None = None,
|
|
285
|
+
discount_rates: ArrayLike | None = None,
|
|
286
|
+
dividend_rates: ArrayLike | None = None,
|
|
287
|
+
discount_factors: ArrayLike | None = None,
|
|
288
|
+
is_call_options: ArrayLike | None = None,
|
|
289
|
+
*args,
|
|
290
|
+
**kwargs
|
|
291
|
+
) -> Array:
|
|
292
|
+
return grad(grad(model, 0), 2)(
|
|
293
|
+
volatilities,
|
|
294
|
+
strikes,
|
|
295
|
+
expiries,
|
|
296
|
+
spots,
|
|
297
|
+
forwards,
|
|
298
|
+
discount_rates,
|
|
299
|
+
dividend_rates,
|
|
300
|
+
discount_factors,
|
|
301
|
+
is_call_options,
|
|
302
|
+
*args,
|
|
303
|
+
**kwargs
|
|
304
|
+
)
|
|
305
|
+
|
|
306
|
+
def vera(
|
|
307
|
+
model: Callable,
|
|
308
|
+
volatilities: ArrayLike,
|
|
309
|
+
strikes: ArrayLike,
|
|
310
|
+
expiries: ArrayLike,
|
|
311
|
+
spots: ArrayLike | None = None,
|
|
312
|
+
forwards: ArrayLike | None = None,
|
|
313
|
+
discount_rates: ArrayLike | None = None,
|
|
314
|
+
dividend_rates: ArrayLike | None = None,
|
|
315
|
+
discount_factors: ArrayLike | None = None,
|
|
316
|
+
is_call_options: ArrayLike | None = None,
|
|
317
|
+
*args,
|
|
318
|
+
**kwargs
|
|
319
|
+
) -> Array:
|
|
320
|
+
return grad(grad(model, 0), 5)(
|
|
321
|
+
volatilities,
|
|
322
|
+
strikes,
|
|
323
|
+
expiries,
|
|
324
|
+
spots,
|
|
325
|
+
forwards,
|
|
326
|
+
discount_rates,
|
|
327
|
+
dividend_rates,
|
|
328
|
+
discount_factors,
|
|
329
|
+
is_call_options,
|
|
330
|
+
*args,
|
|
331
|
+
**kwargs
|
|
332
|
+
)
|
|
333
|
+
|
|
334
|
+
def speed(
|
|
335
|
+
model: Callable,
|
|
336
|
+
volatilities: ArrayLike,
|
|
337
|
+
strikes: ArrayLike,
|
|
338
|
+
expiries: ArrayLike,
|
|
339
|
+
spots: ArrayLike | None = None,
|
|
340
|
+
forwards: ArrayLike | None = None,
|
|
341
|
+
discount_rates: ArrayLike | None = None,
|
|
342
|
+
dividend_rates: ArrayLike | None = None,
|
|
343
|
+
discount_factors: ArrayLike | None = None,
|
|
344
|
+
is_call_options: ArrayLike | None = None,
|
|
345
|
+
*args,
|
|
346
|
+
**kwargs
|
|
347
|
+
) -> Array:
|
|
348
|
+
return grad(grad(grad(model, 3), 3), 3)(
|
|
349
|
+
volatilities,
|
|
350
|
+
strikes,
|
|
351
|
+
expiries,
|
|
352
|
+
spots,
|
|
353
|
+
forwards,
|
|
354
|
+
discount_rates,
|
|
355
|
+
dividend_rates,
|
|
356
|
+
discount_factors,
|
|
357
|
+
is_call_options,
|
|
358
|
+
*args,
|
|
359
|
+
**kwargs
|
|
360
|
+
)
|
|
361
|
+
|
|
362
|
+
def zomma(
|
|
363
|
+
model: Callable,
|
|
364
|
+
volatilities: ArrayLike,
|
|
365
|
+
strikes: ArrayLike,
|
|
366
|
+
expiries: ArrayLike,
|
|
367
|
+
spots: ArrayLike | None = None,
|
|
368
|
+
forwards: ArrayLike | None = None,
|
|
369
|
+
discount_rates: ArrayLike | None = None,
|
|
370
|
+
dividend_rates: ArrayLike | None = None,
|
|
371
|
+
discount_factors: ArrayLike | None = None,
|
|
372
|
+
is_call_options: ArrayLike | None = None,
|
|
373
|
+
*args,
|
|
374
|
+
**kwargs
|
|
375
|
+
) -> Array:
|
|
376
|
+
return grad(grad(grad(model, 3), 3), 0)(
|
|
377
|
+
volatilities,
|
|
378
|
+
strikes,
|
|
379
|
+
expiries,
|
|
380
|
+
spots,
|
|
381
|
+
forwards,
|
|
382
|
+
discount_rates,
|
|
383
|
+
dividend_rates,
|
|
384
|
+
discount_factors,
|
|
385
|
+
is_call_options,
|
|
386
|
+
*args,
|
|
387
|
+
**kwargs
|
|
388
|
+
)
|
|
389
|
+
|
|
390
|
+
def color(
|
|
391
|
+
model: Callable,
|
|
392
|
+
volatilities: ArrayLike,
|
|
393
|
+
strikes: ArrayLike,
|
|
394
|
+
expiries: ArrayLike,
|
|
395
|
+
spots: ArrayLike | None = None,
|
|
396
|
+
forwards: ArrayLike | None = None,
|
|
397
|
+
discount_rates: ArrayLike | None = None,
|
|
398
|
+
dividend_rates: ArrayLike | None = None,
|
|
399
|
+
discount_factors: ArrayLike | None = None,
|
|
400
|
+
is_call_options: ArrayLike | None = None,
|
|
401
|
+
*args,
|
|
402
|
+
**kwargs
|
|
403
|
+
) -> Array:
|
|
404
|
+
return grad(grad(grad(model, 3), 3), 2)(
|
|
405
|
+
volatilities,
|
|
406
|
+
strikes,
|
|
407
|
+
expiries,
|
|
408
|
+
spots,
|
|
409
|
+
forwards,
|
|
410
|
+
discount_rates,
|
|
411
|
+
dividend_rates,
|
|
412
|
+
discount_factors,
|
|
413
|
+
is_call_options,
|
|
414
|
+
*args,
|
|
415
|
+
**kwargs
|
|
416
|
+
)
|
|
417
|
+
|
|
418
|
+
def ultima(
|
|
419
|
+
model: Callable,
|
|
420
|
+
volatilities: ArrayLike,
|
|
421
|
+
strikes: ArrayLike,
|
|
422
|
+
expiries: ArrayLike,
|
|
423
|
+
spots: ArrayLike | None = None,
|
|
424
|
+
forwards: ArrayLike | None = None,
|
|
425
|
+
discount_rates: ArrayLike | None = None,
|
|
426
|
+
dividend_rates: ArrayLike | None = None,
|
|
427
|
+
discount_factors: ArrayLike | None = None,
|
|
428
|
+
is_call_options: ArrayLike | None = None,
|
|
429
|
+
*args,
|
|
430
|
+
**kwargs
|
|
431
|
+
) -> Array:
|
|
432
|
+
return grad(grad(grad(model, 0), 0), 0)(
|
|
433
|
+
volatilities,
|
|
434
|
+
strikes,
|
|
435
|
+
expiries,
|
|
436
|
+
spots,
|
|
437
|
+
forwards,
|
|
438
|
+
discount_rates,
|
|
439
|
+
dividend_rates,
|
|
440
|
+
discount_factors,
|
|
441
|
+
is_call_options,
|
|
442
|
+
*args,
|
|
443
|
+
**kwargs
|
|
444
|
+
)
|
|
445
|
+
|
|
446
|
+
def parmicharma(
|
|
447
|
+
model: Callable,
|
|
448
|
+
volatilities: ArrayLike,
|
|
449
|
+
strikes: ArrayLike,
|
|
450
|
+
expiries: ArrayLike,
|
|
451
|
+
spots: ArrayLike | None = None,
|
|
452
|
+
forwards: ArrayLike | None = None,
|
|
453
|
+
discount_rates: ArrayLike | None = None,
|
|
454
|
+
dividend_rates: ArrayLike | None = None,
|
|
455
|
+
discount_factors: ArrayLike | None = None,
|
|
456
|
+
is_call_options: ArrayLike | None = None,
|
|
457
|
+
*args,
|
|
458
|
+
**kwargs
|
|
459
|
+
) -> Array:
|
|
460
|
+
return grad(grad(grad(model, 3), 2), 2)(
|
|
461
|
+
volatilities,
|
|
462
|
+
strikes,
|
|
463
|
+
expiries,
|
|
464
|
+
spots,
|
|
465
|
+
forwards,
|
|
466
|
+
discount_rates,
|
|
467
|
+
dividend_rates,
|
|
468
|
+
discount_factors,
|
|
469
|
+
is_call_options,
|
|
470
|
+
*args,
|
|
471
|
+
**kwargs
|
|
472
|
+
)
|