optipricer 0.1.0

A comprehensive options pricing and analysis library

OptiVerse

A high-performance Python library for options pricing, Greeks calculation, and derivatives strategies analysis. Built with C++ for speed and wrapped with Python for ease of use.

Features

• Black-Scholes-Merton Model for European options pricing
• Greeks calculation (Delta, Gamma, Theta, Vega, Rho)
• Options strategies (Calls, Puts, Straddles, Strangles)
• High performance C++ implementation with Python bindings

Installation

Prerequisites

• Python 3.7 or higher
• C++ compiler (automatically handled by pip)

Install from PyPI

pip install optiverse

Verify Installation

import optiverse
print("OptiVerse installed successfully!")

Quick Start

Basic Options Pricing

import optiverse

# Create a Black-Scholes model
model = optiverse.models.BlackScholesModel(
    strike_price=100.0,      # Strike price
    volatility=0.25,         # 25% volatility
    risk_free_rate=0.05,     # 5% risk-free rate
    time_to_maturity=0.25,   # 3 months to expiration
    underlying_price=105.0   # Current stock price
)

# Calculate option prices
call_price = model.call_price()
put_price = model.put_price()

print(f"Call Price: ${call_price:.4f}")
print(f"Put Price: ${put_price:.4f}")

Greeks Analysis

# Create Greeks calculator
greeks = optiverse.models.GreeksCalculator(model)

# Calculate Greeks
delta_call = greeks.call_delta()
gamma = greeks.gamma()
vega = greeks.vega()
theta_call = greeks.call_theta()

print(f"Call Delta: {delta_call:.4f}")
print(f"Gamma: {gamma:.4f}")
print(f"Vega: {vega:.4f}")
print(f"Theta: {theta_call:.4f}")

Options Strategies

# Long Straddle Strategy
straddle = optiverse.strategies.LongStraddle(
    underlying_price=100.0,
    volatility=0.25,
    risk_free_rate=0.05,
    time_to_maturity=0.25,
    strike=100.0,
    quantity=1.0
)

# Analyze strategy
current_value = straddle.total_value()
total_delta = straddle.total_delta()

print(f"Strategy Value: ${current_value:.4f}")
print(f"Portfolio Delta: {total_delta:.4f}")

API Reference

BlackScholesModel

BlackScholesModel(strike_price, volatility, risk_free_rate, time_to_maturity, underlying_price)

Methods:

• call_price() → Calculate call option price
• put_price() → Calculate put option price
• d1() → Calculate d1 parameter
• d2() → Calculate d2 parameter

GreeksCalculator

GreeksCalculator(model: BlackScholesModel)

Methods:

• call_delta() / put_delta() → Price sensitivity to underlying
• gamma() → Delta sensitivity to underlying
• vega() → Price sensitivity to volatility
• call_theta() / put_theta() → Price sensitivity to time
• call_rho() / put_rho() → Price sensitivity to interest rate

Strategy Classes

Available strategies:

• LongCall / ShortCall
• LongPut / ShortPut
• LongStraddle / ShortStraddle
• LongStrangle / ShortStrangle

Common Methods:

• total_value() → Current strategy value
• total_delta() → Portfolio delta
• payoff_at_expiration(price) → Payoff at expiration

License

This project is licensed under the MIT License - see the LICENSE file for details.