option-price 0.2.0

Awesome but light option price calculator in Python

option-price

option-price is a Python-based powerful but simple option price calculator. It makes use of vectorization, which makes it pretty fast.

A GUI version is available here.

Docs are available here.

Installation

pip install option-price

Quick Start

from optionprice import Option

An option can be initialized by:

some_option = Option(european=True,
                    kind='put',
                    s0=100,
                    k=120,
                    t=45,
                    sigma=0.01,
                    r=0.05,
                    dv=0)

Or

some_option = Option(european=False,
                    kind='call',
                    s0=120,
                    k=100,
                    sigma=0.01,
                    r=0.05,
                    start='2008-2-14'，
                    end='2008-3-14'，
                    dv=0)

You can check the option by

print(some_option)

which will print out the option’s info.

Type:           European
Kind:           call
Price initial:  80
Price strike:   120
Volatility:     1.0%
Risk free rate: 5.0%
Start Date:     2020-03-24
Expire Date:    2020-04-24
Time span:      31.0 days

Attributes

Name	Type	Definition
european	boolean	True if the option is an European option and False if it's an American one.
kind	str	‘call’ for call option while ‘put’ for put option. Other strs are not valid.
s0	number	initial price
k	int	strike price
sigma	float	volatility of stock
r	float	risk free interest rate per annum
[optional] dv	float	dividend rate. 0 for non-stock option, which is also the default
[optional] t	int	length of option in days
[optional] start	str	beginning date of the option, string like '2008-02-14',default today
[optional] end	str	end date of the option, string like '2008-02-14',default today plus param t

Note that if start,end and t are all given, then t will choose the difference between end and start

Also, either t or (start and end) should exists

Calculate

option-price has three approaches to calculate the price of the price of the option. They are

• B-S-M
• Monte Carlo
• Binomial Tree

option-price will choose B-S-M algorithm by default. Prices can be simply calculated by

price = some_option.getPrice()

Other methods of calculation are available by adding some parameters. For instance,

price = some_option.getPrice(method='MC',iteration = 500000)

or

price = some_option.getPrice(method='BT',iteration = 1000)

while MC stands for Monte Carlo and BT stands for Binomial Tree.

The iteration has a default value. Note that the larger the value, the slower and more precise the price.

Default value is a balance of speed and accuracy.