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Implement risks #12

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MarcusRainbow opened this issue Jun 28, 2018 · 1 comment
Closed

Implement risks #12

MarcusRainbow opened this issue Jun 28, 2018 · 1 comment

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@MarcusRainbow
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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
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Implemented Delta and Gamma, and Vega and Volga

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@MarcusRainbow