pfhedge.nn.functional

Payoff Functions

european_payoff	Returns the payoff of a European option.
lookback_payoff	Returns the payoff of a lookback option with a fixed strike.
american_binary_payoff	Returns the payoff of an American binary option.
european_binary_payoff	Returns the payoff of a European binary option.
european_forward_start_payoff	Returns the payoff of a European forward start option.

Nonlinear activation functions

leaky_clamp	Leakily clamp all elements in input into the range \([\min, \max]\).
clamp	Clamp all elements in input into the range \([\min, \max]\).

Criterion Functions

exp_utility	Applies an exponential utility function.
isoelastic_utility	Applies an isoelastic utility function.
entropic_risk_measure	Returns the entropic risk measure.
expected_shortfall	Returns the expected shortfall of the given input tensor.
value_at_risk	Returns the value at risk of the given input tensor.
quadratic_cvar	Returns the Quadratic CVaR of the given input tensor.

Black-Scholes formulas

European option

bs_european_price	Returns Black-Scholes price of a European option.
bs_european_delta	Returns Black-Scholes delta of a European option.
bs_european_gamma	Returns Black-Scholes gamma of a European option.
bs_european_vega	Returns Black-Scholes vega of a European option.
bs_european_theta	Returns Black-Scholes theta of a European option.

American binary option

bs_american_binary_price	Returns Black-Scholes price of an American binary option.
bs_american_binary_delta	Returns Black-Scholes delta of an American binary option.
bs_american_binary_gamma	Returns Black-Scholes gamma of an American binary option.
bs_american_binary_vega	Returns Black-Scholes vega of an American binary option.
bs_american_binary_theta	Returns Black-Scholes theta of an American binary option.

European binary option

bs_european_binary_price	Returns Black-Scholes price of a European binary option.
bs_european_binary_delta	Returns Black-Scholes delta of a European binary option.
bs_european_binary_gamma	Returns Black-Scholes gamma of a European binary option.
bs_european_binary_vega	Returns Black-Scholes vega of a European binary option.
bs_european_binary_theta	Returns Black-Scholes theta of a European binary option.

Lookback option

bs_lookback_price	Returns Black-Scholes price of a lookback option.
bs_lookback_delta	Returns Black-Scholes delta of a lookback option.
bs_lookback_gamma	Returns Black-Scholes gamma of a lookback option.
bs_lookback_vega	Returns Black-Scholes vega of a lookback option.
bs_lookback_theta	Returns Black-Scholes theta of a lookback option.

Other Functions

bilerp	Does a bilinear interpolation of four tensors based on a scalar or tensor weights and returns the resulting tensor.
box_muller	Returns two tensors obtained by applying Box-Muller transformation to two input tensors.
d1	Returns \(d_1\) in the Black-Scholes formula.
d2	Returns \(d_2\) in the Black-Scholes formula.
ncdf	Returns a new tensor with the normal cumulative distribution function.
npdf	Returns a new tensor with the normal distribution function.
pl	Returns the final profit and loss of hedging.
realized_variance	Returns the realized variance of the price.
realized_volatility	Returns the realized volatility of the price.
svi_variance	Returns variance in the SVI model.
terminal_value	Alias for pfhedge.nn.functional.pl().
topp	Returns the largest \(p * N\) elements of the given input tensor, where \(N\) stands for the total number of elements in the input tensor.