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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


Release history Release notifications

This version
History Node

0.1.2

History Node

0.1.1

History Node

0.1.0

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Filename, size & hash SHA256 hash help File type Python version Upload date
ivolat-0.1.2-py2-none-any.whl (21.5 kB) Copy SHA256 hash SHA256 Wheel 2.7 Aug 31, 2015

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