pybaw

Barone-Adesi–Whaley (1987) American option pricing and implied volatility as a Cython extension: nogil scalar loops with scipy's Cython brentq doing the root solves.

Conventions

sigma is the Black total vol (total standard deviation, sigma_annual * sqrt(T)).
The pricer works in (D, F, S, sigma) terms — rT = -ln(D), bT = ln(F/S) — so no explicit T appears (T=1 convention).
Dividends never appear explicitly: the cost of carry is implied via carry = F/S.
baw_implied_vol takes the raw premium (not undiscounted); its intrinsic is the American max(S-K, 0) / max(K-S, 0). Sentinels: 0.0 at/below intrinsic, NaN on failure.

Install

pip install pybaw

Prebuilt wheels cover CPython 3.11+ on Linux (x86_64, aarch64), Windows (x86_64), and macOS (arm64, x86_64). On anything else pip falls back to the sdist, which needs a C compiler — the compiled extension is required, there is no pure-Python fallback. Note scipy is needed at build time too, not just runtime: the extension cimports scipy.optimize.cython_optimize.

To work on the package itself, either install from a checkout:

pip install .

or build in place and put the repo root on PYTHONPATH:

python setup.py build_ext --inplace

API

Function	Purpose
`baw_price(S, K, D, F, sigma, flag)`	American price; `flag` `'c'`/`'p'`
`baw_implied_vol(price, S, K, D, F, flag)`	invert a raw premium to total vol
`vectorized_baw_implied_vol(prices, S[], K[], D[], F[], flags[])`	batch inversion
`find_forward_baw(calls, puts, strikes, spot, discount)`	forward where call IV ≈ put IV near ATM
`bsm_price(K, D, F, sigma, flag)`	pure European reference (used by tests/bounds)

find_forward_baw exists because European put-call parity is biased for American options by the early-exercise premium; solving for the forward that equates call and put implied vols near the money removes that bias.

Tests

pip install -e .[test]
pytest

License

MIT — see LICENSE.

Release files for pybaw 1.0.0

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Source distribution (sdist)

Source distribution for pybaw 1.0.0
File	Size	Uploaded
pybaw-1.0.0.tar.gz	196.5 kB	Jul 11, 2026	Details

Built distributions (wheels)

Table of built distributions (wheels) for pybaw 1.0.0
File	Interpreter	ABI	Platform	Reset
pybaw-1.0.0-cp314-cp314t-win_amd64.whl 286.5 kB Jul 11, 2026	CPython 3.14	CPython 3.14 free-threading	Windows x86-64	Details
pybaw-1.0.0-cp314-cp314t-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl 796.9 kB Jul 11, 2026	CPython 3.14	CPython 3.14 free-threading	Linux glibc 2.17+ x86-64, Linux glibc 2.28+ x86-64	Details
pybaw-1.0.0-cp314-cp314t-manylinux2014_aarch64.manylinux_2_17_aarch64.manylinux_2_28_aarch64.whl 805.0 kB Jul 11, 2026	CPython 3.14	CPython 3.14 free-threading	Linux glibc 2.17+ ARM64, Linux glibc 2.28+ ARM64	Details
pybaw-1.0.0-cp314-cp314t-macosx_11_0_arm64.whl 298.9 kB Jul 11, 2026	CPython 3.14	CPython 3.14 free-threading	macOS 11.0+ ARM64	Details
pybaw-1.0.0-cp314-cp314t-macosx_10_15_x86_64.whl 299.0 kB Jul 11, 2026	CPython 3.14	CPython 3.14 free-threading	macOS 10.15+ x86-64	Details
pybaw-1.0.0-cp314-cp314-win_amd64.whl 280.4 kB Jul 11, 2026	CPython 3.14	CPython 3.14	Windows x86-64	Details
pybaw-1.0.0-cp314-cp314-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl 799.1 kB Jul 11, 2026	CPython 3.14	CPython 3.14	Linux glibc 2.28+ x86-64, Linux glibc 2.17+ x86-64	Details
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pybaw-1.0.0-cp314-cp314-macosx_11_0_arm64.whl 293.1 kB Jul 11, 2026	CPython 3.14	CPython 3.14	macOS 11.0+ ARM64	Details
pybaw-1.0.0-cp314-cp314-macosx_10_15_x86_64.whl 293.9 kB Jul 11, 2026	CPython 3.14	CPython 3.14	macOS 10.15+ x86-64	Details
pybaw-1.0.0-cp313-cp313-win_amd64.whl 276.5 kB Jul 11, 2026	CPython 3.13	CPython 3.13	Windows x86-64	Details
pybaw-1.0.0-cp313-cp313-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl 802.4 kB Jul 11, 2026	CPython 3.13	CPython 3.13	Linux glibc 2.28+ x86-64, Linux glibc 2.17+ x86-64	Details
pybaw-1.0.0-cp313-cp313-manylinux2014_aarch64.manylinux_2_17_aarch64.manylinux_2_28_aarch64.whl 790.2 kB Jul 11, 2026	CPython 3.13	CPython 3.13	Linux glibc 2.28+ ARM64, Linux glibc 2.17+ ARM64	Details
pybaw-1.0.0-cp313-cp313-macosx_11_0_arm64.whl 290.0 kB Jul 11, 2026	CPython 3.13	CPython 3.13	macOS 11.0+ ARM64	Details
pybaw-1.0.0-cp313-cp313-macosx_10_13_x86_64.whl 291.5 kB Jul 11, 2026	CPython 3.13	CPython 3.13	macOS 10.13+ x86-64	Details
pybaw-1.0.0-cp312-cp312-win_amd64.whl 276.7 kB Jul 11, 2026	CPython 3.12	CPython 3.12	Windows x86-64	Details
pybaw-1.0.0-cp312-cp312-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl 805.0 kB Jul 11, 2026	CPython 3.12	CPython 3.12	Linux glibc 2.17+ x86-64, Linux glibc 2.28+ x86-64	Details
pybaw-1.0.0-cp312-cp312-manylinux2014_aarch64.manylinux_2_17_aarch64.manylinux_2_28_aarch64.whl 794.5 kB Jul 11, 2026	CPython 3.12	CPython 3.12	Linux glibc 2.28+ ARM64, Linux glibc 2.17+ ARM64	Details
pybaw-1.0.0-cp312-cp312-macosx_11_0_arm64.whl 290.7 kB Jul 11, 2026	CPython 3.12	CPython 3.12	macOS 11.0+ ARM64	Details
pybaw-1.0.0-cp312-cp312-macosx_10_13_x86_64.whl 292.2 kB Jul 11, 2026	CPython 3.12	CPython 3.12	macOS 10.13+ x86-64	Details
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pybaw-1.0.0-cp311-cp311-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl 814.8 kB Jul 11, 2026	CPython 3.11	CPython 3.11	Linux glibc 2.28+ x86-64, Linux glibc 2.17+ x86-64	Details
pybaw-1.0.0-cp311-cp311-manylinux2014_aarch64.manylinux_2_17_aarch64.manylinux_2_28_aarch64.whl 804.1 kB Jul 11, 2026	CPython 3.11	CPython 3.11	Linux glibc 2.17+ ARM64, Linux glibc 2.28+ ARM64	Details
pybaw-1.0.0-cp311-cp311-macosx_11_0_arm64.whl 288.5 kB Jul 11, 2026	CPython 3.11	CPython 3.11	macOS 11.0+ ARM64	Details
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Publishing platform: GitHub Actions
Publishing repository: github.com/FrenchCommando/pybaw
Publishing commit: github.com/FrenchCommando/pybaw/tree/b537d164b1bb748657183498c6dcb6c2e54c8bf2

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Publishing configuration: github.com/FrenchCommando/pybaw/blob/b537d164b1bb748657183498c6dcb6c2e54c8bf2/.github/workflows/publish.yml
Publishing logs: github.com/FrenchCommando/pybaw/actions/runs/29165059088/attempts/1

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Subject: pybaw-1.0.0-cp311-cp311-macosx_11_0_arm64.whl
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Release files / pybaw-1.0.0-cp311-cp311-macosx_10_9_x86_64.whl

Download URL	pybaw-1.0.0-cp311-cp311-macosx_10_9_x86_64.whl
Size	290.6 kB
Tags	CPython 3.11 macOS 10.9+ x86-64
SHA-256 checksum How to use checksums	`c5e6f62b92bec6010baaed54e06ba95b72ee1fffa4a0cac04ecdcb6b9559b9f1`
BLAKE2b-256 checksum How to use checksums	`5db1681b2aa513749cfa334961c6d323cfca1d7c6cb13811db2a4a527d8a77a1`
Upload date	Jul 11, 2026
Uploaded using Trusted Publishing? What is trusted publishing?	Yes
Uploaded via	`twine/6.1.0 CPython/3.13.12`

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Publishing platform: GitHub Actions
Publishing repository: github.com/FrenchCommando/pybaw
Publishing commit: github.com/FrenchCommando/pybaw/tree/b537d164b1bb748657183498c6dcb6c2e54c8bf2

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Publishing configuration: github.com/FrenchCommando/pybaw/blob/b537d164b1bb748657183498c6dcb6c2e54c8bf2/.github/workflows/publish.yml
Publishing logs: github.com/FrenchCommando/pybaw/actions/runs/29165059088/attempts/1

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Subject: pybaw-1.0.0-cp311-cp311-macosx_10_9_x86_64.whl
SHA-256 checksum: c5e6f62b92bec6010baaed54e06ba95b72ee1fffa4a0cac04ecdcb6b9559b9f1 Verifying attestations

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This release

1.0.0 This release

Jul 11, 2026 26 release files

pybaw 1.0.0

pybaw

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Release files / pybaw-1.0.0-cp314-cp314t-win_amd64.whl

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Release files / pybaw-1.0.0-cp314-cp314t-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl

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Release files / pybaw-1.0.0-cp314-cp314t-macosx_10_15_x86_64.whl

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Release files / pybaw-1.0.0-cp314-cp314-macosx_11_0_arm64.whl

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Release files / pybaw-1.0.0-cp314-cp314-macosx_10_15_x86_64.whl

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