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Awesome but light option price calculator in Python

Project description

option-price

option-price is a Python-based powerful but simple option price calculator.

Installation

pip install option-price

Usage

from optionprice import Option

You can initialize an option through this:

some_option = Option(european=False,
                    kind = 1,
                    s0 = 100,
                    k=120,
                    t=45,
                    sigma=0.01,
                    r=0.05
                    dv = 0)

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

  • B-S-M
  • Monte Carlo
  • Binary Tree

option-price will pick B-S-M by default. You can simply get the price by using

some_option.getPrice()

If you want to calculate in other ways, you can use

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

or

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

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

Project details


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