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MattL922 / greeks

Calculations of option greeks - delta, gamma, theta, vega, rho
MIT License
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What reference to use for risk free interest rate? #2

Open patakijv opened 2 years ago

patakijv commented 2 years ago

Great little library to use. When calculating delta, there is a r argument required which is labeled as 'Annual risk-free interest rate as a decimal'. What reference or benchmark or whatever to use to know what this should be for delta? Should it be the 10-year treasury rate?

dirkdirk commented 10 months ago

https://github.com/mcdallas/wallstreet/blob/master/wallstreet/constants.py

uses

TREASURY_URL = "https://home.treasury.gov/sites/default/files/interest-rates/yield.xml"

You'll have to dig a little, but it's a start.