| Price Sensitivities |
 |
| bdsens |
price sensitivities using bond option model |
| binsens |
price sensitivities using binomial model |
| blkedsens |
price sensitivities using Eurodollar futures options model |
| blksens |
price sensitivities using Black model |
| bssens |
price sensitivities using Black-Scholes model |
| gksens, gksens4 |
price sensitivities using Garman-Kohlhagen model |
| whaleysens |
price sensitivities using Whaley-Adesi model |
| rgwsens |
price sensitivities using Roll, Geske and Whaley model |
| jumpsens |
price sensitivities using jump-diffusion model |
| warrantsens* |
warrant model sensitivities |
| All sensitivity functions can compute: |
|
| delta |
1st derivative w.r.t. underlying price |
| gamma |
2nd derivative w.r.t. underlying price |
| theta |
1st derivative w.r.t. time to expiration |
| kappa |
1st derivative w.r.t. volatility (vega) |
| rho |
1st derivative w.r.t. risk-free rate |
| psi |
1st derivative w.r.t. dividends (to yield for bond options, to storage cost for commodity options, to foreign interest rate for foreign exchange options) |
| omega |
price elasticity |
| "zeta" |
1st derivative w.r.t. strike price |
| Volatility |
|
| bdimpv |
implied volatility using bond option model |
| binimpv |
implied volatility using the binomial model |
| blkedimpv |
implied volatility using Eurodollar futures option model |
| blkimpv |
implied volatility using Black model |
| bsimpv |
implied volatility using Black-Scholes |
| gkimpv, gkimpv4 |
implied volatility using Garman-Kohlhagen model |
| whaleyimpv |
implied volatility using Whaley-Adesi model |
| rgwimpv |
implied volatility using Roll, Geske and Whaley model |
| jumpimpv |
implied volatility using jump-diffusion model |
| voltcc |
volatility using historical close-to-close prices |
| volthl |
volatility using historical high-low prices |
| volthlc |
volatility using historical high-low-close prices |
| volthloc |
volatility using historical high-low-open-close prices |
| voltexp |
volatility using exponentially-weighted asset returns |
| Implied Strike Price* |
|
| bdis |
implied strike using bond option model |
| binis |
implied strike using the binomial model |
| blkedis |
implied strike using Eurodollar futures option model |
| blkis |
implied strike using Black model |
| bsis |
implied strike using Black-Scholes |
| gkis, gkis4 |
implied strike using Garman-Kohlhagen model |
| whaleyis |
implied strike using Whaley-Adesi model |
| rgwis |
implied strike using Roll, Geske and Whaley model |
| jumpis |
implied strike using jump-diffusion model |
*in beta test |
