Feature Request: Second Order Greeks

vollib / py_vollib

MIT License

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Feature Request: Second Order Greeks #19

Open atreyadaz opened 2 years ago

atreyadaz commented 2 years ago

Are there any plans to add functions to calculate other second order Greeks? Like Vanna, Vomma, Charm. Given the vectorized framework of py_vollib, these functions will be of great help. Thanks.

I am happy to work with someone on building this functionality as well. I have built these functions but do not have experience with vectorization.

lbrichards commented 1 year ago

I will add these to the roadmap. Thanks for the suggestion.

benydc commented 9 months ago

@lbrichards any update on this, would be great to have it :-D