AmericanBSCall_Greeks ============================================== Purpose ---------------- Computes Delta, Gamma, Theta, Vega, and Rho for American call options using the Black, Scholes, and Merton method. Format ---------------- .. function:: { d, g, t, v, rh } = AmericanBSCall_Greeks(S0, K, r, div, tau, sigma) :param S0: current price. :type S0: scalar :param K: strike prices. :type K: Mx1 vector :param r: risk free rate. :type r: scalar :param div: continuous dividend yield. :type div: scalar :param tau: elapsed time to exercise in annualized days of trading. :type tau: scalar :param sigma: volatility. :type sigma: scalar :return d: delta. :rtype d: Mx1 vector :return g: gamma. :rtype g: Mx1 vector :return t: theta. :rtype t: Mx1 vector :return v: vega. :rtype v: Mx1 vector :return rh: rho. :rtype rh: Mx1 vector Global Input ------------ .. list-table:: :widths: auto * - \_fin_thetaType - scalar, if 1, one day look ahead, else, infinitesmal. Default = 0. * - \_fin_epsilon - scalar, finite difference stepsize. Default = 1e-8. Examples ---------------- :: S0 = 305; K = 300; r = .08; sigma = .25; tau = .33; print AmericanBSCall_Greeks(S0, K, r, 0, tau, sigma); produces: :: 0.64458004 0.021386935 -75.959642 65.256275 56.872008 Source ---------- finprocs.src .. seealso:: Functions :func:`AmericanBSCall_ImpVol`, :func:`AmericanBSCall`, :func:`AmericanBSPut_Greeks`, :func:`AmericanBinomCall_Greeks`