8000 Computed greeks leveraging automatic differentation by paolodelia99 · Pull Request #5 · paolodelia99/jaxfin · GitHub
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Computed greeks leveraging automatic differentation #5

Ne 8000 w issue

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Merged
merged 9 commits into from
Feb 19, 2024
Merged

Computed greeks leveraging automatic differentation #5

merged 9 commits into from
Feb 19, 2024

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  • Used jax.grad to compute the Greeks, to make the code more readable and intuitive.
  • The precision between the closed formula and the auto-diff computation was minimal (10e-7).
  • Added the most important greeks for the BS (delta, gamma, rho, theta, vega)
  • Added just delta and gamma calculation for the Black model.

@paolodelia99 paolodelia99 added the enhancement New feature or request label Feb 19, 2024
@paolodelia99 paolodelia99 self-assigned this Feb 19, 2024
@paolodelia99 paolodelia99 linked an issue Feb 19, 2024 that may be closed by this pull request
Use automatic differentation to get the greeks instead of closed-form formulas #3
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@paolodelia99 paolodelia99 merged commit 8e93b38 into master Feb 19, 2024
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Use automatic differentation to get the greeks instead of closed-form formulas
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