hypercall_types/greeks.rs
1/// Option sensitivities and related valuation data.
2///
3/// Values are computed by the pricing model for a single option quote.
4#[derive(Debug, Clone, Copy)]
5pub struct Greeks {
6 /// Option value sensitivity to a change in the underlying price.
7 pub delta: f64,
8 /// Delta sensitivity to a change in the underlying price.
9 pub gamma: f64,
10 /// Option value sensitivity to time decay.
11 pub theta: f64,
12 /// Option value sensitivity to a one percent volatility change.
13 pub vega: f64,
14 /// Option value sensitivity to a one percent interest rate change.
15 pub rho: f64,
16 /// Model implied volatility used for this valuation.
17 pub implied_vol: f64,
18 /// Model-derived option price.
19 pub theoretical_price: f64,
20 /// Observed mid-market option price, when a quote is available.
21 pub market_mid_price: Option<f64>,
22}