Implement risks - Githubissues

MarcusRainbow / QuantMath

Financial maths library for risk-neutral pricing and risk

MIT License

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Implement risks #12

Closed MarcusRainbow closed 6 years ago

MarcusRainbow commented 6 years ago

These should live in the risks project. Simple examples would be a delta to a single asset. More useful and interesting examples would be a report showing delta, gamma and optionally cross gamma to all assets matching some criteria.

The single asset risks would be a nice easy project for someone with not much financial knowledge.I am thinking:

Delta and gamma
Dividend risk
Yield risk (PV01)
Vega and volgamma
Cost-of-carry risk
Vanna (bump to the spot and bump to vol)

MarcusRainbow commented 6 years ago

Implemented Delta and Gamma, and Vega and Volga