Last updated: 2023-03-16.
Module: tf_quant_finance.black_scholes#
TensorFlow Quantitative Finance volatility surfaces and vanilla options.
Modules#
approximations module: Approximations to the black scholes formula.
Classes#
class AveragingFrequency: Averaging types for asian options.
class AveragingType: Averaging types for asian options.
class ImpliedVolMethod: Implied volatility methods.
class ImpliedVolUnderlyingDistribution: Underying’s distribution.
Functions#
asian_option_price(...): Computes the Black Scholes price for a batch of asian options.
asset_or_nothing_price(...): Computes the Black Scholes price for a batch of asset-or-nothing options.
barrier_price(...): Prices barrier options in a Black-Scholes Model.
binary_price(...): Computes the Black Scholes price for a batch of binary call or put options.
brownian_bridge_double(...): Computes probability of not touching the barriers for a 1D Brownian Bridge.
brownian_bridge_single(...): Computes proba of not touching the barrier for a 1D Brownian Bridge.
implied_vol(...): Finds the implied volatilities of options under the Black Scholes model.
implied_vol_approx(...): Approximates the implied vol using the Stefanica-Radiocic algorithm.
implied_vol_newton(...): Computes implied volatilities from given call or put option prices.
option_price(...): Computes the Black Scholes price for a batch of call or put options.
option_price_binomial(...): Computes the BS price for a batch of European or American options.
swaption_price(...): Calculates the price of European Swaptions using the Black model.
variance_swap_fair_strike(...): Calculates the fair value strike for a variance swap contract.