RISK ENGINE option pricing & risk framework

Valuation—

Net Delta—

VaR 99%—

Day PnL—

Risk Report Greeks · VaR/ES · PnL

Positions

Equity shares Option contracts Strike Type

Market

Spot Volatility Risk-free rate % Dividend yield % Years to expiry Prior spot Confidence %

recomputed — requests 0 closed-form Black-Scholes · bump-and-reprice Greeks privacy github.com/damianhoward/risk-engine