calculate_greeks
Compute option Greeks (Delta, Gamma, Theta, Vega, Rho) to measure risk and sensitivity using the Black-Scholes model.
Instructions
Calculate option Greeks (Delta, Gamma, Theta, Vega, Rho) using the Black-Scholes model. Greeks measure risk and sensitivity:
Delta: Price change per $1 move in underlying (0-1 for calls, -1-0 for puts)
Gamma: Rate of delta change
Theta: Daily time decay
Vega: Sensitivity to 1% volatility change
Rho: Sensitivity to 1% interest rate change
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| strike | Yes | Option strike price | |
| symbol | Yes | Stock ticker symbol | |
| optionType | Yes | Option type: call or put | |
| riskFreeRate | No | Risk-free interest rate as decimal (optional, default: 0.045) | |
| dividendYield | No | Annual dividend yield as decimal (optional, default: 0) | |
| expirationDate | Yes | Expiration date in YYYY-MM-DD format | |
| underlyingPrice | No | Current underlying price (optional, will be fetched if not provided) |