Skip to content

Greeks and exercise probability for Swaption trade #291

@noonediesalone

Description

@noonediesalone

Hi,

Sorry if this was asked before, but is there a reliable way to get greeks and exercise probability for a Swaption across all supported pricing models?

I see delta and vega in additional_results but that's pretty much all I could find.
Would be nice to expose other stats (gamma, alpha, theta, rho, vanna ..) and also exercise probability for each expiry date.

Regards,
Laurentiu.

Metadata

Metadata

Assignees

No one assigned

    Labels

    No labels
    No labels

    Type

    No type

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions