optionpy 0.0.2

Calculation of option price, greeks and implied volatility

# Introduction

The optionpy package makes pricing of option contracts and calculating the Greeks fast.

# Key Features

• Calculate the quantities, like:

  • Fair Value : Fair value calculated with the BSM model and the volatility of the underlying (sigma)

  • ITM : A bool that indicates if the option in In The Money.

  • IV : Implied volatility

  • Delta, Vega, Theta, Rho, Epsilon, Gamma : The greeks.

  • Nd1, Nd2 : The probability of the event that the underlying price is over the strike price ($S_t≥K$) in the risk-neutral world.

• All function are vectorized.

• An advanced search and selection routine.