Produce a Greeks report for an options book

Medium+25 pointsAbout 45 minutesRisk

UsesDerivatives 1.6 Black–Scholes–Merton in practice Derivatives 1.7 Greeks and hedging

Coming soon

Compute delta, gamma, vega and theta for a book of options, aggregate them, and suggest the hedge.

This problem opens with Derivatives Modelling. It draws on the modules below.

Derivatives 1.6 Black–Scholes–Merton in practice (coming soon)
Derivatives 1.7 Greeks and hedging (coming soon)