derivatives-expert

What problem does it solve?

This Skill solves the problem of needing expert-level knowledge and tools for derivatives, including pricing models and risk management strategies.

Core Features & Use Cases

• Expert-level Derivatives Knowledge: Offers insights on futures, forwards, swaps, structured products, and exotic options across various asset classes.
• Pricing Models: Includes functions for calculating fair value, basis, roll yield, margin requirements, and interest rate parity for financial instruments.
• Risk Management: Provides risk metrics and hedges for delta, gamma, vega, theta, rho, and credit spreads.
• Use Case: Imagine you are an options trader looking for in-depth analysis of your positions. Use this Skill to quickly evaluate your options positions with detailed risk analysis.

Quick Start

Execute the script to get futures fair value with risk-free rate 5%, dividend yield 2%, and T=1.