merton.greeks.equity¶

Closed-form Greeks of the BSM equity-as-call-option pricing.

Classes¶

Container for all equity / PD Greeks returned by greeks().

Functions¶

`equity_delta`(→ merton._typing.FloatArray)	∂E/∂A = e^(-qT)·Φ(d₁) — equity sensitivity to firm asset value.
`equity_gamma`(→ merton._typing.FloatArray)	∂²E/∂A² = e^(-qT)·φ(d₁) / (A·σ_A·√T).
`equity_vega`(→ merton._typing.FloatArray)	∂E/∂σ_A = A·e^(-qT)·φ(d₁)·√T.
`equity_theta`(→ merton._typing.FloatArray)	∂E/∂T — time decay of equity.
`equity_rho`(→ merton._typing.FloatArray)	∂E/∂r = D·T·e^(-rT)·Φ(d₂).
`greeks`(→ GreeksResult)	Compute all equity + PD Greeks in one call.

Module Contents¶

merton.greeks.equity.equity_delta(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, T: merton._typing.ArrayLike, *, dividend_yield: merton._typing.ArrayLike = 0.0) → merton._typing.FloatArray[source]¶: ∂E/∂A = e^(-qT)·Φ(d₁) — equity sensitivity to firm asset value.

merton.greeks.equity.equity_gamma(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, T: merton._typing.ArrayLike, *, dividend_yield: merton._typing.ArrayLike = 0.0) → merton._typing.FloatArray[source]¶: ∂²E/∂A² = e^(-qT)·φ(d₁) / (A·σ_A·√T).

merton.greeks.equity.equity_vega(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, T: merton._typing.ArrayLike, *, dividend_yield: merton._typing.ArrayLike = 0.0) → merton._typing.FloatArray[source]¶: ∂E/∂σ_A = A·e^(-qT)·φ(d₁)·√T.

merton.greeks.equity.equity_theta(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, T: merton._typing.ArrayLike, *, dividend_yield: merton._typing.ArrayLike = 0.0) → merton._typing.FloatArray[source]¶: ∂E/∂T — time decay of equity.

merton.greeks.equity.equity_rho(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, T: merton._typing.ArrayLike, *, dividend_yield: merton._typing.ArrayLike = 0.0) → merton._typing.FloatArray[source]¶: ∂E/∂r = D·T·e^(-rT)·Φ(d₂).

class merton.greeks.equity.GreeksResult[source]¶

Container for all equity / PD Greeks returned by greeks().

equity_delta: merton._typing.FloatArray[source]¶

equity_gamma: merton._typing.FloatArray[source]¶

equity_vega: merton._typing.FloatArray[source]¶

equity_theta: merton._typing.FloatArray[source]¶

equity_rho: merton._typing.FloatArray[source]¶

pd_dleverage: merton._typing.FloatArray[source]¶

pd_dvol: merton._typing.FloatArray[source]¶

pd_drate: merton._typing.FloatArray[source]¶

to_dict() → dict[str, merton._typing.FloatArray][source]¶

to_pandas() → pandas.DataFrame[source]¶

merton.greeks.equity.greeks(asset_value: merton._typing.ArrayLike, asset_vol: merton._typing.ArrayLike, debt: merton._typing.ArrayLike, rf: merton._typing.ArrayLike, T: merton._typing.ArrayLike, *, dividend_yield: merton._typing.ArrayLike = 0.0) → GreeksResult[source]¶: Compute all equity + PD Greeks in one call.