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European Options Pricing Library

Project description

Installation

pip install ivolat

Examples

import ivolat

# stock price
s = 10000
# option strike price
k = 10500
# risk-free interest rate
r = 0.001
# drift rate (dividend)
q = 0.1
# time remaining until expiration (in years)
t = 20.0 / 365.0
# annual volatility of stock price
sigma = 0.2
# call option price
p = 40


# call opition price
ivolat.prem_call(s, k, r, q, t, sigma)

# call opition implied volatility
ivolat.ivolat_call(s, k, r, q, t, p)

# Greeks
# call delta
ivolat.delta_call(s, k, r, q, t, sigma)

# Second-order Greeks
# gamma
ivolat.gamma(s, k, r, q, t, sigma)

# vanna
ivolat.vanna(s, k, r, q, t, sigma)

# vomma (volga)
ivolat.vomma(s, k, r, q, t, sigma)

Project details


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