option-pricings 0.1.3

Option pricing using the Black Scholes Model

This is an simple python package to calculate greeks like theta,vega,gamma,delta and rho as well as to calculate option prices using binomial tree method and black scholes method.

Dependencies

Numpy

Scipy

How to install

pip install option-pricings

How to import

import option_pricings

Or import specific modules

from option_pricings import bsm for black scholes

from option_pricings import binomial for binomial tree

from option_pricings import greeks for greeks

using the package

Symbol	Meaning	Note
S	Spot Price
K	Strike Price
T	Time to Maturity
r	Interest Rate	To be entered in the scale of 1-100
sigma	Volatility	To be entered in the scale of 1-100
u	Up Factor
d	Down Factor

black scholes

from option_pricings import bsm

price = bsm(S=50,K=40,T=1,r=6,sigma=25,option_type="call")

print(price)

The option type can be either call or put

binomial

from option_pricings import binomial

price = binomial(S=50,K=52,r=5,T=2,u=1.2,d=0.8,option_type="put",n_steps=2)

print(price)

you can give either u and d or sigma and the u and d will be calculated based on that similarly you can give either time_step or n_step and the other will be calculated like wise Note:

greeks

from option_pricings import greeks

first you need to instantiate the classs

price = greeks(S=50, K=40, T=1, r=6, sigma=25, option_type='call')

then specify which greek you want to calculate

greeks.delta()

greeks.gamma()

greeks.vega()

greeks.theta()

greeks.rho()

there also an option which will calculate all the options in one go

greeks.all()

Author

Shreenivas Dani

Emai: [e-mail]