mafipy.function.black_scholes_call_vega¶
-
mafipy.function.
black_scholes_call_vega
(underlying, strike, rate, maturity, vol)[source]¶ calculates black scholes vega.
\[\frac{\partial}{\partial \sigma} c(S, K, r, T, \sigma) = \sqrt{T}S\phi(d_{1}(S, K, r, T, \sigma))\]where \(S\) is underlying, \(K\) is strike, \(r\) is rate, \(T\) is maturity, \(\sigma\) is volatility, \(\phi\) is standard normal p.d.f, \(d_{1}\) is defined in
func_d1()
.See
black_scholes_call_value()
.Parameters: - underlying (float) –
- strike (float) –
- rate (float) –
- maturity (float) – if maturity <= 0.0, this function returns 0.
- vol (float) – volatility. This must be positive.
Returns: value of vega.
Return type: float.