Usage

Pricing and Greeks (American)

require "pure_greeks"

option = PureGreeks::Option.new(
  exercise_style: :american,
  type: :call,
  strike: 150.0,
  expiration: Date.new(2026, 6, 19),
  underlying_price: 148.5,
  implied_volatility: 0.35,
  risk_free_rate: 0.05,
  dividend_yield: 0.0,
  valuation_date: Date.today
)

option.price                # => 4.27
option.delta                # => 0.42
option.gamma                # => 0.018
option.theta                # => -0.012  (per calendar day)
option.vega                 # => 0.31    (per 1% vol move)
option.rho                  # => 0.08    (per 1% rate move)
option.calculation_model    # => :crr_binomial_american

Solving for implied volatility

Pass market_price: instead of implied_volatility:. The solver uses Brent’s method on the Black-Scholes European pricer; for American options with significant early-exercise premium the result is a close approximation, not exact.

option = PureGreeks::Option.new(
  exercise_style: :european,
  type: :call,
  strike: 150.0,
  expiration: Date.new(2026, 6, 19),
  underlying_price: 148.5,
  market_price: 5.20,
  risk_free_rate: 0.05,
  dividend_yield: 0.0,
  valuation_date: Date.today
)

option.implied_volatility   # => 0.342

Constructor arguments

Argument	Type	Notes
exercise_style	:american or :european	Routes to CRR or Black-Scholes.
type	:call or :put
strike	Numeric	Must be positive.
expiration	Date	Must be strictly after valuation_date.
underlying_price	Numeric	Must be positive.
implied_volatility	Numeric	Annualized, decimal (0.35 == 35%). Either this or market_price, not both.
market_price	Numeric	Triggers the IV solver. Either this or implied_volatility, not both.
risk_free_rate	Numeric	Annualized, decimal.
dividend_yield	Numeric	Annualized, decimal.
valuation_date	Date	The “today” against which expiration is measured.

Errors

Error	When
PureGreeks::InvalidInputError	bad input at construction time (wrong exercise_style, wrong type, non-positive strike or underlying_price)
PureGreeks::ExpiredContractError	subclass of InvalidInputError; raised when expiration <= valuation_date
PureGreeks::IVConvergenceError	subclass of CalculationError; Brent’s method failed to bracket or converge

All inherit from PureGreeks::Error, so rescue PureGreeks::Error catches everything.