cfries
commented
2 years ago I faintly remember that I had stumbled across this as it might be a convention - so if you consider it as d/dt or d/dT (where T is (time-to-)maturity and t is time).
It feels right that, theta should differentiate with respect to the model parameter t and not the product parameter T, but I wonder if there was a reason that I did it that way?
The calculation of theta for a Black Scholes option is wrong. The current result must be multiplied by -1. I propose to change line 616.
What is this PR for?
Replace this line by a few sentences describing the overall goals of the pull request's commits.
What type of PR is it?
Bug fix
Todos
None
What is the related issue?
theta is wrong
How should this be tested?
just compare with the closed form formula
Screenshots
Questions:
Does the licenses files need update?
No
Are there breaking changes for older versions?
No
Does the change require additional documentation?
No