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)
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Metadata
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Release files for ivolat 0.1.2
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Built distribution (wheel)
| File | Interpreter | ABI | Platform | Reset |
|---|---|---|---|---|
| ivolat-0.1.2-py2-none-any.whl | Python 2 | none | any | Details |
Release files / ivolat-0.1.2-py2-none-any.whl
| Download URL | ivolat-0.1.2-py2-none-any.whl |
|---|---|
| Size | 21.5 kB |
| Tags | Python 2 |
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