EuropeanBSPut_Greeks ============================================== Purpose ---------------- Computes Delta, Gamma, Theta, Vega, and Rho for European put options using Black, Scholes, and Merton method. Format ---------------- .. function:: { d, g, t, v, rh } = EuropeanBSPut_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 ------------ .. data:: \_fin_thetaType scalar, if 1, one day look ahead, else, infinitesmal. Default = 0. .. data:: \_fin_epsilon scalar, finite difference stepsize. Default = 1e-8. Examples ---------------- :: S0 = 305; K = 300; r = .08; sigma = .25; tau = .33; print EuropeanBSPut_Greeks(S0, K, r, 0, tau, sigma); produces: :: -0.3554 0.0085 -15.1307 65.2563 -39.54861 Source ------ finprocs.src .. seealso:: Functions :func:`EuropeanBSPut_ImpVol`, :func:`EuropeanBSPut`, :func:`EuropeanBSCall_Greeks`, :func:`EuropeanBinomPut_Greeks`