Black Scholes

The cube is used to calculate the main Greeks: Delta, Gamma, Vega, Theta, Ro at the current time.

Incoming sockets

• Price of underlying asset - the price of the underlying asset.

• Options - the list of options from the Derivative cube.

• Maximum deviation - the maximum deviation.

Outgoing sockets

• Result - the result of calculating the main Greeks: Delta, Gamma, Vega, Theta, Po at the current time.

Parameters

• Black model - the flag, indicating whether values will be calculated according to the Black-Scholes model.

• Value - can take the values of Delta, Gamma, Vega, Theta, Po and determines what value will be at the cube output.