volatility / wire operation
Probability of finishing in-the-money
totalfinance.volatility.probability_in_the_money
Risk-neutral probability that an option finishes in the money at expiry — N(d2) for a call, N(−d2) for a put. This is the model probability P(S_t ⋛ K), not a real-world forecast.
| Pack / profiles | volatility / default, full, options, strategies |
|---|---|
| Default discovery | Included |
| Required capabilities | None |
| Effects / authorization | none / none |
| Cost / cancellation | small / Do not assume inline interruption |
| Handle-eligible inputs | None |
| Idempotency | not-applicable |
Input schema
{
"type": "object",
"properties": {
"type": {
"type": "string",
"enum": [
"call",
"put"
]
},
"spot": {
"type": "number",
"exclusiveMinimum": 0
},
"strike": {
"type": "number",
"exclusiveMinimum": 0
},
"timeToExpiryYears": {
"type": "number",
"exclusiveMinimum": 0,
"description": "Time to expiry in years"
},
"riskFreeRate": {
"type": "number",
"description": "Continuously-compounded risk-free rate (decimal)"
},
"volatility": {
"type": "number",
"exclusiveMinimum": 0,
"description": "Implied volatility (annualized decimal)"
},
"dividendYield": {
"type": "number"
}
},
"additionalProperties": false,
"required": [
"type",
"spot",
"strike",
"timeToExpiryYears",
"riskFreeRate",
"volatility"
]
}Output schema
{
"type": "object",
"properties": {
"value": {
"type": "number",
"description": "Risk-neutral probability in [0, 1]"
},
"assumptions": {
"type": "object",
"description": "Applied conventions"
},
"diagnostics": {
"type": "object",
"description": "Engine, method, warnings"
}
},
"required": [
"value"
]
}