Module derivatives 

Derivatives pricing kernels.

This module contains deterministic, dependency-free option analytics. All inputs are supplied by the caller; no market data, calendars, or allocation are used by the pricing routines.

Structs

BlackScholesResult

Enums

DerivativesError

OptionKind

OptionStyle

Constants

MAX_BINOMIAL_STEPS

Functions

binomial_option_price

Cox-Ross-Rubinstein binomial option price.

black_scholes_price_and_greeks

Black-Scholes-Merton option price and Greeks with continuous dividend yield.

normal_cdf

Standard normal CDF using the Abramowitz-Stegun 7.1.26 approximation.

parity_implied_call_price

parity_implied_put_price

put_call_parity

Returns the put-call parity residual: call - put - (spot * exp(-qT) - strike * exp(-rT)).