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fix bug of greeks Nan of spot price < 0.01 #18

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fix bug of greeks Nan of spot price < 0.01 #18

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700f39d
Update _numerical_greeks.py
tinix84 Apr 24, 2024
026f69e
Update _numerical_greeks.py
tinix84 Apr 24, 2024
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26 changes: 13 additions & 13 deletions py_vollib_vectorized/_numerical_greeks.py
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Original file line number Diff line number Diff line change
Expand Up @@ -3,7 +3,7 @@
from py_vollib_vectorized.util.jit_helper import maybe_jit
from ._model_calls import black, black_scholes, black_scholes_merton

dS = .01
dS = 1e-6

#### BLACK

Expand All @@ -28,8 +28,8 @@ def numerical_delta_black(flags, Fs, Ks, ts, rs, sigmas):
if flag < 0: # put option
delta = -1.0
else:
delta = (black(F+dS, K, sigma, t, flag) - black(F - dS, K, sigma, t, flag)) / (
2 * dS)
delta = (black(F*(1+dS), K, sigma, t, flag) - black(F*(1-dS), K, sigma, t, flag)) / (
2*F*dS)
deltas.append(delta)
return deltas

Expand Down Expand Up @@ -76,8 +76,8 @@ def numerical_gamma_black(flags, Fs, Ks, ts, rs, sigmas):
if t == 0:
gamma = np.inf if F == K else 0.0
else:
gamma = (black(flag, F + dS, K, t, r, sigma) - 2. * black(flag, F, K, t, r, sigma) + \
black(flag, F - dS, K, t, r, sigma)) / dS ** 2.
gamma = (black(flag, F*(1+dS), K, t, r, sigma) - 2. * black(flag, F, K, t, r, sigma) + \
black(flag, F*(1-dS), K, t, r, sigma)) / (F*dS) ** 2.

gammas.append(gamma)
return gammas
Expand Down Expand Up @@ -105,8 +105,8 @@ def numerical_delta_black_scholes(flags, Ss, Ks, ts, rs, sigmas, bs):
if flag < 0: # put option
delta = -1.0
else:
delta = (black_scholes(flag, S + dS, K, t, r, sigma) - black_scholes(flag, S - dS, K, t, r, sigma)) / (
2 * dS)
delta = (black_scholes(flag, S*(1+dS), K, t, r, sigma) - black_scholes(flag, S*(1-dS), K, t, r, sigma)) / (
2 * S*dS)
deltas.append(delta)
return deltas

Expand Down Expand Up @@ -152,8 +152,8 @@ def numerical_gamma_black_scholes(flags, Ss, Ks, ts, rs, sigmas, bs):
if t == 0:
gamma = np.inf if S == K else 0.0
else:
gamma = (black_scholes(flag, S + dS, K, t, r, sigma) - 2. * black_scholes(flag, S, K, t, r, sigma) + \
black_scholes(flag, S - dS, K, t, r, sigma)) / dS ** 2.
gamma = (black_scholes(flag, S*(1+dS), K, t, r, sigma) - 2. * black_scholes(flag, S, K, t, r, sigma) + \
black_scholes(flag, S*(1-dS), K, t, r, sigma)) / (S*dS) ** 2.

gammas.append(gamma)
return gammas
Expand Down Expand Up @@ -183,11 +183,11 @@ def numerical_delta_black_scholes_merton(flags, Ss, Ks, ts, rs, sigmas, bs):
if flag < 0: # put option
delta = -1.0
else:
delta = (black_scholes_merton(flag, S + dS, K, t, r, sigma, r - b) - black_scholes_merton(flag, S - dS, K,
delta = (black_scholes_merton(flag, S*(1+dS), K, t, r, sigma, r - b) - black_scholes_merton(flag, S*(1-dS), K,
t, r,
sigma,
r - b)) / (
2 * dS)
2 * dS*S)
deltas.append(delta)
return deltas

Expand Down Expand Up @@ -243,11 +243,11 @@ def numerical_gamma_black_scholes_merton(flags, Ss, Ks, ts, rs, sigmas, bs):
if t == 0:
gamma = np.inf if S == K else 0.0
else:
gamma = (black_scholes_merton(flag, S + dS, K, t, r, sigma, r - b) - 2. * black_scholes_merton(flag, S, K,
gamma = (black_scholes_merton(flag, S*(1+dS), K, t, r, sigma, r - b) - 2. * black_scholes_merton(flag, S, K,
t, r,
sigma,
r - b) + \
black_scholes_merton(flag, S - dS, K, t, r, sigma, r - b)) / dS ** 2.
black_scholes_merton(flag, S*(1-dS), K, t, r, sigma, r - b)) / (S*dS) ** 2.

gammas.append(gamma)
return gammas