Python for Finance

Options and Futures
Note that in the table,
Obviously, very few people can remember these formulae. Here is a very simple
approach, based on their definition:
How to remember?
Table 10.2 A simple approach to estimating Greek letters
• Delta: First order derivative
• Gamma: Second order derivative
• Theta: Time (T)
• Vega: Volatility (V)
• Rho: Rate (R)
For example, based on delta's definition, we know that it is the ratio of c2 - c1 and
s2 - s1. Thus, we could generate a small number to generate those two pairs; see
the following codes:
from scipy import log,exp,sqrt,stats
tiny=1e-9
S=40
X=40
T=0.5
r=0.01
sigma=0.2
def bsCall(S,X,T,r,sigma):
[ 358 ]