options Greeks API
Options Greeks API with pricing attached.
Greeks are useful only when they match the pricing path. FerroRisk keeps price, implied volatility, forwards, and sensitivities on one model-aware route.
Problem
Why this needs one shared risk path
Greeks drift when they are computed by a different path than the price.
Second-order Greeks are often missing or bolted on after the model layer.
Chain analytics need consistent sensitivity calculations across thousands of contracts.
Workflow
How FerroRisk handles it
Price and solve consistently
The contract evaluation path can solve IV, recover forwards, and compute sensitivities without changing conventions.
Return full sensitivity sets
First- and second-order Greeks are available for model-aware contract analytics.
Aggregate into chains
The same sensitivities can feed DEX, GEX, VEX, walls, flip levels, and portfolio scenarios.
Fit
What makes this FerroRisk-shaped
Home-page benchmarks call out all-10-Greeks hot paths.
Docs expose single-contract Greeks and fused contract analytics workflows.
Reference and MPFR oracle testing backstop numerical behavior.
Questions
Common concerns
Does the API include second-order Greeks?
Yes. The public site positions FerroRisk around full first- and second-order Greeks.
Are Greeks separate from surface analytics?
No. FerroRisk is designed so contract analytics and surface workflows share conventions.
Related searches
Continue the cluster
Rust options pricing library
A Rust options pricing library with seven pricing models, implied-volatility solving, full Greeks, volatility surfaces, chain analytics, and proof-gated primitives.
options risk engine
An options risk engine for pricing, Greeks, volatility surfaces, chain exposures, scenario attribution, and portfolio risk workflows.
volatility surface calibration
Volatility surface calibration for SVI, SSVI, and SABR workflows with fit-quality diagnostics, forward recovery, and downstream risk analytics.