lightquant 0.1.8

A lightweight Python library for python utilities for holidays, dates, options and other tools

lightquant

lightquant is a lightweight Python library providing utilities for working with holidays, dates, options, and other trading-related tools. It is designed to simplify common tasks in quantitative finance and trading workflows.

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Features

• Date Utilities: Simplify date and time operations.
• Options Pricing: Tools for European options calculations.
• External Interactions: Functions for assisting web scraping, reading and writing R files.
• Config Management: Centralized configuration management using YAML files.

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Installation

Install the package using pip:

pip install lightquant

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Functions Overview

Below is a list of available functions in each module. For detailed usage, use the help(function_name) command in Python.

dateutils Module

• load_holidays_by_exchange()
• valid_datetime(sdatetime, out_pattern=None)
• is_business_day(date, exchange="NSE")
• business_days_between(start_date, end_date, include_first=False, include_last=False, exchange="NSE")
• calc_fractional_business_days(start_datetime, end_datetime, exchange="NSE")
• advance_by_biz_days(datetime_, days, adjustment="fbd", exchange="NSE")
• get_last_day_of_month(year, month)
• get_expiry(date, weekly=0, day_of_week=4, exchange="NSE")
• is_aware(datetime_)
• get_aware_dt(datetime_, tz="Asia/Kolkata")
• get_naive_dt(datetime_)
• is_time_between(begin_time, end_time, check_time)

europeanoptions Module

• BlackScholesPrice(S, X, r, sigma, T, OptionType)
• BlackScholesDelta(S, X, r, sigma, T, OptionType)
• BlackScholesGamma(S, X, r, sigma, T)
• BlackScholesVega(S, X, r, sigma, T)
• BlackScholesTheta(S, X, r, sigma, T, OptionType, daysInYear=252)
• BlackScholesIV(S, X, r, T, OptionType, OptionPrice, seed=0.2)
• calc_delta(long_symbol, opt_price, underlying, time, days_in_year=252, risk_free_rate=0, exchange="NSE")
• get_option_price(long_symbol, S, sigma, calc_time, r=0, days_in_year=252, exchange="NSE")
• calc_greeks(long_symbol, opt_price, underlying, calc_time, greeks, days_in_year=252, risk_free_rate=0, exchange="NSE")
• generate_opt_simulation(symbols, quantities, target_date, vol_shift, start_range, end_range, increment, market_data, exchange="NSE")
• find_x_intercepts(price, value)

interactions Module

• readRDS(filename)
• saveRDS(pd_file, path)
• send_mail(send_from, send_to, password, subject, text, files=None, is_html=False)
• get_session_or_driver(url_to_test, get_session=True, headless=False, desktop_session=4, proxy_source=None, api_key=None, proxy_user=None, proxy_password=None, country_code=None, webdriver_path=None)

miscutils Module

• convert_to_dot_dict(dictionary)
• np_ffill(arr, axis=0)

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