{
 "cells": [
  {
   "cell_type": "markdown",
   "id": "497d9b9dc9634500812f180231b90e8e",
   "metadata": {},
   "source": [
    "# Call prices and all Greeks across strikes\n",
    "\n",
    "Minimal example: compute **call** and **greeks** for a range of strikes and print a table."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "a58dfe9237aa417481c613c2041a682e",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>call price</th>\n",
       "      <th>delta</th>\n",
       "      <th>gamma</th>\n",
       "      <th>theta</th>\n",
       "      <th>vega</th>\n",
       "      <th>rho</th>\n",
       "      <th>ddelta</th>\n",
       "      <th>vanna</th>\n",
       "      <th>vomma</th>\n",
       "      <th>lambda</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>strike</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>70.0</th>\n",
       "      <td>29.7234</td>\n",
       "      <td>0.9853</td>\n",
       "      <td>0.0010</td>\n",
       "      <td>0.4007</td>\n",
       "      <td>0.9689</td>\n",
       "      <td>-14.8617</td>\n",
       "      <td>-0.9830</td>\n",
       "      <td>-0.1679</td>\n",
       "      <td>30.7906</td>\n",
       "      <td>3.3150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>75.0</th>\n",
       "      <td>24.8450</td>\n",
       "      <td>0.9726</td>\n",
       "      <td>0.0030</td>\n",
       "      <td>-0.1126</td>\n",
       "      <td>3.0474</td>\n",
       "      <td>-12.4225</td>\n",
       "      <td>-0.9655</td>\n",
       "      <td>-0.4231</td>\n",
       "      <td>62.9755</td>\n",
       "      <td>3.9146</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>80.0</th>\n",
       "      <td>20.1070</td>\n",
       "      <td>0.9409</td>\n",
       "      <td>0.0072</td>\n",
       "      <td>-1.0331</td>\n",
       "      <td>7.1761</td>\n",
       "      <td>-10.0535</td>\n",
       "      <td>-0.9248</td>\n",
       "      <td>-0.7648</td>\n",
       "      <td>89.1509</td>\n",
       "      <td>4.6796</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>85.0</th>\n",
       "      <td>15.6524</td>\n",
       "      <td>0.8799</td>\n",
       "      <td>0.0133</td>\n",
       "      <td>-2.3412</td>\n",
       "      <td>13.2711</td>\n",
       "      <td>-7.8262</td>\n",
       "      <td>-0.8510</td>\n",
       "      <td>-1.0120</td>\n",
       "      <td>87.2986</td>\n",
       "      <td>5.6215</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>90.0</th>\n",
       "      <td>11.6553</td>\n",
       "      <td>0.7848</td>\n",
       "      <td>0.0200</td>\n",
       "      <td>-3.7718</td>\n",
       "      <td>20.0245</td>\n",
       "      <td>-5.8277</td>\n",
       "      <td>-0.7425</td>\n",
       "      <td>-0.9548</td>\n",
       "      <td>55.0716</td>\n",
       "      <td>6.7333</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>95.0</th>\n",
       "      <td>8.2701</td>\n",
       "      <td>0.6610</td>\n",
       "      <td>0.0254</td>\n",
       "      <td>-4.9196</td>\n",
       "      <td>25.4251</td>\n",
       "      <td>-4.1350</td>\n",
       "      <td>-0.6087</td>\n",
       "      <td>-0.5249</td>\n",
       "      <td>16.0877</td>\n",
       "      <td>7.9927</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>100.0</th>\n",
       "      <td>5.5811</td>\n",
       "      <td>0.5229</td>\n",
       "      <td>0.0279</td>\n",
       "      <td>-5.4602</td>\n",
       "      <td>27.8591</td>\n",
       "      <td>-2.7906</td>\n",
       "      <td>-0.4671</td>\n",
       "      <td>0.1393</td>\n",
       "      <td>-0.6965</td>\n",
       "      <td>9.3697</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>105.0</th>\n",
       "      <td>3.5820</td>\n",
       "      <td>0.3880</td>\n",
       "      <td>0.0269</td>\n",
       "      <td>-5.3079</td>\n",
       "      <td>26.8977</td>\n",
       "      <td>-1.7910</td>\n",
       "      <td>-0.3354</td>\n",
       "      <td>0.7907</td>\n",
       "      <td>15.3349</td>\n",
       "      <td>10.8329</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>110.0</th>\n",
       "      <td>2.1892</td>\n",
       "      <td>0.2705</td>\n",
       "      <td>0.0233</td>\n",
       "      <td>-4.6128</td>\n",
       "      <td>23.2827</td>\n",
       "      <td>-1.0946</td>\n",
       "      <td>-0.2260</td>\n",
       "      <td>1.2260</td>\n",
       "      <td>52.2932</td>\n",
       "      <td>12.3540</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>115.0</th>\n",
       "      <td>1.2772</td>\n",
       "      <td>0.1776</td>\n",
       "      <td>0.0183</td>\n",
       "      <td>-3.6411</td>\n",
       "      <td>18.3330</td>\n",
       "      <td>-0.6386</td>\n",
       "      <td>-0.1434</td>\n",
       "      <td>1.3728</td>\n",
       "      <td>89.0682</td>\n",
       "      <td>13.9091</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>120.0</th>\n",
       "      <td>0.7132</td>\n",
       "      <td>0.1104</td>\n",
       "      <td>0.0133</td>\n",
       "      <td>-2.6445</td>\n",
       "      <td>13.2937</td>\n",
       "      <td>-0.3566</td>\n",
       "      <td>-0.0861</td>\n",
       "      <td>1.2783</td>\n",
       "      <td>110.1421</td>\n",
       "      <td>15.4797</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>125.0</th>\n",
       "      <td>0.3825</td>\n",
       "      <td>0.0652</td>\n",
       "      <td>0.0090</td>\n",
       "      <td>-1.7864</td>\n",
       "      <td>8.9702</td>\n",
       "      <td>-0.1913</td>\n",
       "      <td>-0.0491</td>\n",
       "      <td>1.0457</td>\n",
       "      <td>111.4387</td>\n",
       "      <td>17.0515</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>130.0</th>\n",
       "      <td>0.1977</td>\n",
       "      <td>0.0368</td>\n",
       "      <td>0.0057</td>\n",
       "      <td>-1.1326</td>\n",
       "      <td>5.6829</td>\n",
       "      <td>-0.0989</td>\n",
       "      <td>-0.0268</td>\n",
       "      <td>0.7739</td>\n",
       "      <td>97.6539</td>\n",
       "      <td>18.6141</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        call price   delta   gamma   theta     vega      rho  ddelta   vanna  \\\n",
       "strike                                                                         \n",
       "70.0       29.7234  0.9853  0.0010  0.4007   0.9689 -14.8617 -0.9830 -0.1679   \n",
       "75.0       24.8450  0.9726  0.0030 -0.1126   3.0474 -12.4225 -0.9655 -0.4231   \n",
       "80.0       20.1070  0.9409  0.0072 -1.0331   7.1761 -10.0535 -0.9248 -0.7648   \n",
       "85.0       15.6524  0.8799  0.0133 -2.3412  13.2711  -7.8262 -0.8510 -1.0120   \n",
       "90.0       11.6553  0.7848  0.0200 -3.7718  20.0245  -5.8277 -0.7425 -0.9548   \n",
       "95.0        8.2701  0.6610  0.0254 -4.9196  25.4251  -4.1350 -0.6087 -0.5249   \n",
       "100.0       5.5811  0.5229  0.0279 -5.4602  27.8591  -2.7906 -0.4671  0.1393   \n",
       "105.0       3.5820  0.3880  0.0269 -5.3079  26.8977  -1.7910 -0.3354  0.7907   \n",
       "110.0       2.1892  0.2705  0.0233 -4.6128  23.2827  -1.0946 -0.2260  1.2260   \n",
       "115.0       1.2772  0.1776  0.0183 -3.6411  18.3330  -0.6386 -0.1434  1.3728   \n",
       "120.0       0.7132  0.1104  0.0133 -2.6445  13.2937  -0.3566 -0.0861  1.2783   \n",
       "125.0       0.3825  0.0652  0.0090 -1.7864   8.9702  -0.1913 -0.0491  1.0457   \n",
       "130.0       0.1977  0.0368  0.0057 -1.1326   5.6829  -0.0989 -0.0268  0.7739   \n",
       "\n",
       "           vomma   lambda  \n",
       "strike                     \n",
       "70.0     30.7906   3.3150  \n",
       "75.0     62.9755   3.9146  \n",
       "80.0     89.1509   4.6796  \n",
       "85.0     87.2986   5.6215  \n",
       "90.0     55.0716   6.7333  \n",
       "95.0     16.0877   7.9927  \n",
       "100.0    -0.6965   9.3697  \n",
       "105.0    15.3349  10.8329  \n",
       "110.0    52.2932  12.3540  \n",
       "115.0    89.0682  13.9091  \n",
       "120.0   110.1421  15.4797  \n",
       "125.0   111.4387  17.0515  \n",
       "130.0    97.6539  18.6141  "
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import numpy as np\n",
    "import pandas as pd\n",
    "import volkit as vk\n",
    "\n",
    "# Parameters (edit these) -----------------------------\n",
    "F = 100.0     # futures price\n",
    "T = 0.50      # years\n",
    "r = 0.02      # continuous compounding\n",
    "sigma = 0.20  # Black vol (per √year)\n",
    "\n",
    "# Strike grid -----------------------------------------\n",
    "K = np.arange(70.0, 131.0, 5.0)  # 70,75,...,130\n",
    "\n",
    "# Table ------------------------------------------------\n",
    "df = pd.DataFrame({\n",
    "    \"strike\": K,\n",
    "    \"call price\": vk.price_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"delta\": vk.delta_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"gamma\": vk.gamma_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"theta\": vk.theta_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"vega\": vk.vega_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"rho\": vk.rho_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"ddelta\": vk.dual_delta_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"vanna\": vk.vanna_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"vomma\": vk.vomma_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "    \"lambda\": vk.lambda_euro_future(F, K, T, r, sigma, cp=\"call\"),\n",
    "\n",
    "}).set_index('strike')\n",
    "df.round(4)\n"
   ]
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "volkit-eeDo8oXc-py3.11",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
   "version": "3.11.8"
  }
 },
 "nbformat": 4,
 "nbformat_minor": 5
}