nse-greeks-calculator 1.0.1

A package for calculating option Greeks for NSE derivatives

NSE Greeks Calculator

A powerful Python package for real-time calculation of option Greeks for NSE (National Stock Exchange) derivatives. This calculator provides accurate and real-time calculations of Delta, Gamma, Theta, Vega, and Rho for options trading on the National Stock Exchange of India.

Features

• Real-time Greeks calculation (Delta, Gamma, Theta, Vega, Rho)
• Support for both Call (CE) and Put (PE) options
• Live market data integration with NSE
• Automatic implied volatility calculation
• Real-time monitoring with customizable intervals
• Built-in error handling and debugging information
• Simple and intuitive API

Installation

pip install nse-greeks-calculator

Requirements

• Python >=3.7
• nsepython
• pandas
• numpy
• scipy

Quick Start

from nse_greeks_calculator import NSEGreeksCalculator

# Initialize the calculator with symbol
calculator = NSEGreeksCalculator('NIFTY')

# Monitor Greeks in real-time
calculator.monitor_greeks(
    strike_price=23500,
    expiry_date='27-Mar-2025',
    option_type='CE',  # 'CE' for Call Option, 'PE' for Put Option
    interval=5  # Update interval in seconds
)

Features in Detail

Greeks Calculation

The calculator provides the following Greeks:

• Delta: Measures the rate of change of option price with respect to the underlying
• Gamma: Measures the rate of change of Delta
• Theta: Measures the rate of change of option value with respect to time
• Vega: Measures sensitivity to volatility
• Rho: Measures sensitivity to interest rate changes

Real-time Monitoring

The monitor_greeks() function provides continuous updates with:

• Current spot price
• Option price
• Implied Volatility (IV)
• All Greeks values
• Timestamp for each update

Error Handling

The package includes comprehensive error handling for:

• Network connectivity issues
• Invalid market data
• Calculation errors
• Invalid parameters

License

This project is licensed under the Apache License 2.0 - see the LICENSE file for details.

Author

Lekshmi

Contributing

Contributions are welcome! Please feel free to submit a Pull Request.