Function to calculate the greeks for a European Call/Put.
calcgreeks()The value of the chosen greek for a European Call/Put.
The user inputs are as follows: Spot: to be entered in numbers for e.g. 120.50 Strike: to be entered in numbers for e.g. 110.50 Maturity in number of years: to be entered in decimals. For e.g. 0.25 for a quarter year Dividend yield: to be entered in decimals. For e.g. 0.02 for 2 per cent Type of Option: chosen between Call/Put Greek: chosen amongst Delta, Gamma, Vega, Theta, Rho Sigma (Volatility) per annum Risk free rate per annum: Clicking "+ / -" increases/decreases the value of the above two inputs.
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.