Greeks Numeric

Problem

Estimate option Greeks with finite differences.

Given the base value f0, bumped values f_up and f_down, a later-time value f_t, spot bump ds, and time bump dt, return [delta, gamma, theta] with delta = (f_up - f_down) / (2 * ds), gamma = (f_up - 2 * f0 + f_down) / ds ** 2, and theta = (f_t - f0) / dt.

Hint

Delta is a central first difference and gamma a second difference.

Test cases

case 1

in: [10,11,9,9.8,1,0.1]

expected: [1,0,-1.999999999999993]

case 2

in: [5,5.2,4.7,4.9,0.5,0.25]

expected: [0.5,-0.3999999999999986,-0.3999999999999986]

case 3

in: [2,2,2,2,1,1]

expected: [0,0,0]

Starter codePython

def numeric_greeks(f0, f_up, f_down, f_t, ds, dt):
    # Returns [delta, gamma, theta]
    # Your code here
    pass

3 test cases · run your code against them in the editor