Bitcoin example

Author: yzoz

example_greeks.py

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+from bsm import BSM
+
+calc = BSM()
+
+#Bitcoin example
+
+S = 21000 #Underlying (price now)
+K = 30000 #Strike
+V = 0.75 #Implied Volatility (1 / 100%)
+T = 30 / 365 #Expiration date (days from now / 365)
+dT = "C" #Call / Put
+
+print('Theo: ', round(calc.theo(S, K, V, T, dT), 2))
+print('Delta: ', round(calc.delta(S, K, V, T, dT), 2))
+print('Theta: ', round(calc.theta(S, K, V, T), 2))
+print('Vega: ', round(calc.vega(S, K, V, T), 2))
+print('Gamma: ', round(calc.gamma(S, K, V, T), 2))