What kind of formulas does Theta Proxy support?
Theta Proxy can be used for all smooth functions which you would like to evaluate in real-time. That means a function should not have spikes or jumps because Theta Proxy cannot detect them automatically.
For financial mathematics, this condition holds true for
- option pricing with Monte Carlo, PDE, tree or any other method,
- Greek computation based on these pricings,
- VaR and cVaR estimates,
- option parameter estimation (e.g. implied volatility),
- and many other …