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.

## Project details

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