optionvisualizer-wrapper 0.1.14

Wrapper for https://github.com/GBERESEARCH/optionvisualizer - now methods output plotly fig objects instead of None

OptionVisualizer Wrapper

Wrapper for https://github.com/GBERESEARCH/optionvisualizer - now methods output plotly fig objects instead of None, giving you the flexibility of further processing the plots and converting them to different formats that can be displayed and interacted with outside of jupyter notebooks.

This library provides a wrapper around the excellent optionvisualizer package, ensuring that all plotting functions consistently return Plotly Figure objects. This makes it easier to integrate with other Plotly-based tools, save figures in various formats, and customize plots further.

• OptionVisualizer Wrapper
  • Key Features
  • Installation
  • Usage Examples
  • API Comparison with optionvisualizer

Key Features

• Consistent Plotly Output: All plotting functions (visualize, greeks, payoffs) return plotly.graph_objects.Figure instances.
• Mirrored API: The API closely mirrors the original optionvisualizer, making it easy to transition. You can use the same function names and parameters.
• Simplified Usage: No need to juggle interactive, notebook, and web_graph flags. The wrapper handles this internally.
• Full Functionality: Provides access to all the core features of optionvisualizer, including:
  • Option pricing (Black-Scholes)
  • Greek calculations (analytical and numerical)
  • Barrier option pricing
  • 2D and 3D Greek visualizations
  • Payoff diagrams for various option strategies

Installation

PyPI

$ pip install optionvisualizer-wrapper

Usage Examples

Output of the code below: https://gist.github.com/tddschn/984962bd09eceb5c736cae945eabeea8

from optionvisualizer_wrapper import OptionVisualizerWrapper

# Create an instance of the wrapper
wrapper = OptionVisualizerWrapper()

# --- Option Pricing and Greeks ---

# Calculate the price of a call option
price = wrapper.option_data(
    option_value="price", S=100, K=105, T=0.5, r=0.01, sigma=0.2, option="call"
)
print(f"Call Option Price: {price}")

# Calculate Delta (using analytical method by default)
delta = wrapper.sensitivities(greek="delta", S=100, K=100, T=0.5, r=0.01, sigma=0.2)
print(f"Delta: {delta}")

# Calculate Delta numerically
delta_num = wrapper.sensitivities(
    greek="delta", S=100, K=100, T=0.5, r=0.01, sigma=0.2, num_sens=True
)
print(f"Numerical Delta: {delta_num}")

# Calculate Barrier Option Price
barrier_price = wrapper.barrier(
    S=100, K=95, H=110, R=0, T=1, r=0.05, q=0, sigma=0.3, option='call', barrier_direction='up', knock='in'
)
print(f"Barrier Option Price: {barrier_price}")


# --- 3D Greek Visualization ---

# Visualize Vega in 3D
fig_3d = wrapper.visualize(
    risk=True,
    graphtype="3D",
    greek="vega",
    S=100,
    T=0.75,
    r=0.02,
    sigma=0.25,
    direction="long",
    colorscheme="Viridis",
)
fig_3d.show()
# Save the figure to an HTML file
fig_3d.write_html("vega_3d.html")


# --- 2D Greek Visualization ---
fig_2d = wrapper.visualize(
    risk=True,
    graphtype="2D",
    x_plot="price",
    y_plot="delta",
    S=100,
    G1=90,
    G2=100,
    G3=110,
    T=0.5,
    r=0.02,
    sigma=0.25,
)
fig_2d.show()

# --- Payoff Diagram ---

# Visualize a straddle payoff
fig_payoff = wrapper.visualize(
    risk=False, combo_payoff="straddle", S=100, K=100, T=0.25, r=0.01, sigma=0.3
)
fig_payoff.show()

# Visualize a call option payoff
fig_call_payoff = wrapper.visualize(
    risk=False, payoff_type="call", S=100, K=100, T=0.25, r=0.01, sigma=0.3, direction='long', value=True
)
fig_call_payoff.show()

# --- Using greeks() method for 3D Greek Graph ---

fig_3d_greek = wrapper.greeks(
    graphtype="3D", greek="gamma", S=100, T=0.75, r=0.02, sigma=0.25, direction="short"
)
fig_3d_greek.show()

# --- Using greeks() method for 2D Greek Graph ---

fig_2d_greek = wrapper.greeks(
    graphtype="2D", x_plot="vol", y_plot="theta", S=100, T=0.75, r=0.02, sigma=0.25, direction="long"
    , G1=90, G2=100, G3=110
)

fig_2d_greek.show()
# --- Using payoffs() method ---

fig_payoff = wrapper.payoffs(
    payoff_type="butterfly", S=100, K1=90, K2=100, K3=110, T=0.75, r=0.02, sigma=0.25, direction="long"
)

fig_payoff.show()

API Comparison with optionvisualizer

The OptionVisualizerWrapper aims to provide a very similar API to the original optionvisualizer.visualizer.Visualizer class. Here's a breakdown of the similarities and key differences:

Similarities:

• Method Names: The core methods have the same names:
  • option_data()
  • sensitivities()
  • barrier()
  • visualize()
  • greeks()
  • payoffs()
• Parameters: The methods accept (almost) all the same parameters as the original methods. You can use the same keyword arguments (e.g., S, K, T, r, sigma, option, greek, direction, combo_payoff, etc.).
• Functionality: The underlying calculations and plotting logic are identical, as the wrapper simply calls the original library's functions.

Key Differences:

1. Return Values (Plotting):

   • optionvisualizer: The visualize(), greeks() and payoffs() methods in the original library display graphs (either using Matplotlib or by opening a browser window for Plotly) and return None. To get the Plotly figure object, you had to use specific combinations of interactive, notebook, and web_graph flags, which could be confusing. Or, you could use data_output=True to get the data used to create the plot, but not the figure object itself.
   • OptionVisualizerWrapper: The visualize(), greeks() and payoffs() methods in the wrapper always return the Plotly go.Figure object. You no longer need to worry about the display flags. The wrapper handles the internal details to ensure you get the figure object.

2. Simplified Usage (Plotting): The wrapper eliminates the need to manage the interactive, notebook, and web_graph flags for getting Plotly figures. The wrapper handles the internal details.

3. No animated_gif: The wrapper does not include the animated_gif method from the original library. Creating animated GIFs is a separate concern and can be handled using other libraries if needed (or potentially added as a separate feature to the wrapper).

4. graphtype is restricted to 2D and 3D for greeks and visualize methods: graphtype argument is now type hinted with Literal["2D", "3D"] and raises a ValueError if any other value supplied.

In essence, the wrapper provides a cleaner, more consistent interface for generating Plotly visualizations from optionvisualizer's powerful calculations, while retaining the familiar API. It's a thin layer that makes the library more convenient to use in a Plotly-centric workflow.