-
Notifications
You must be signed in to change notification settings - Fork 29
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
vectorized_delta doesn't call numerical_delta_black correctly #3
Comments
Hi @m1jkf00 , thanks for the bug report. I will fix this in a new version. I kept the delta functions' signatures standardized, which is why I still pass the "bs" arguments to black model. |
I'm sure you are aware, but the same is true for the other greeks (e.g. numerical_vega_black and numerical_gamma_black). |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Thank you for this package!
When I try to calculate Black deltas using vectorized_delta, it returns an error that numerical_delta_black was passed an unexpected bs argument. I've patched this in my versions of the file by just adding "bs" as an argument to the numerical function, though it probably would have been better to stop greeks.delta from passing the bs argument in the first place.
The text was updated successfully, but these errors were encountered: