OptionGreeksGPU 1.0.0

GPU-accelerated computation of option Greeks

OptionGreeksGPU

OptionGreeksGPU is a high-performance, GPU-accelerated library designed to calculate option Greeks for a large number of contracts quickly and efficiently. By leveraging the power of modern GPU architectures, OptionGreeksGPU can compute Greeks for 1648 option contracts in just 0.20 seconds (after warmup), offering a significant performance improvement over traditional CPU-based methods.

Features

•	Fast Computation: Utilizes GPU acceleration to dramatically reduce computation times for option Greeks.
•	Easy Integration: Designed to easily integrate with existing Python financial analysis workflows.
•	Comprehensive: Supports a wide range of Greeks calculations, including Delta, Gamma, Theta, Vega, and Rho.

Installation

Before installing OptionGreeksGPU, ensure you have a CUDA-compatible GPU and the appropriate CUDA Toolkit installed on your system.

To install OptionGreeksGPU, run the following command:

pip install OptionGreeksGPU

Usage

Here’s a quick example of how to use OptionGreeksGPU (see test.py for exact operation) to compute Greeks for option contracts:

from OptionGreeksGPU.GreeksGPU import calculate_option_metrics import pandas as pd

Load your option contracts data (shared in test directory)

df = pd.read_csv('OpGreeksTestInput.csv', parse_dates=['expiry', 'DT'])

Prepare the data

optionData = df[['strike', 'last_price_Und', 'last_price_CE', 'GreekRef_CE', 'last_price_PE', 'GreekRef_PE']].to_numpy() interestRate = 5 daysToExpiration = 30 # Example: 30 days to expiration

Calculate the Greeks

Data = calculate_option_metrics(option_data=optionData, days_to_expiry=daysToExpiration, interest_rate=interestRate)

Convert the result to a DataFrame

Result_DF = pd.DataFrame(np.column_stack(Data), columns=['call_IVs', 'call_deltas', 'call_delta2s', 'call_vegas', 'call_gammas', 'call_thetas', 'call_rhos', 'put_IVs', 'put_deltas', 'put_delta2s', 'put_vegas', 'put_gammas', 'put_thetas', 'put_rhos'])

Save or use the results

Result_DF.to_csv('OpGreeksTestOutput.csv')

Performance

•	CPU (multiprocessing): ~8 minutes for 1648 option contracts. (using mibian library in multiprocessing 12 cores)
•	GPU (OptionGreeksGPU): 0.20 seconds for 1648 option contracts (after warmup).

Contributing

Contributions are welcome! If you’d like to contribute, please fork the repository, create a feature branch, and submit a pull request.

License

OptionGreeksGPU is licensed under the GNU General Public License v3.0. See the LICENSE file for more details.

Support

If you encounter any problems or have any suggestions, please open an issue on the project’s GitHub page.