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Option Calculator and Simulator

Project description


Option Calculator and Simulator

Git Repository :

An option calculator born from the need to calculate the prices of various options in the QCF program at Georgia Tech. This package provides:

  • Black Scholes pricing of traditional, barrier and exotic options
  • Greeks of European style options
  • Simulations of underlying asset using stochastic processes
  • Pricing of options utilizing the simulated motion of the underlying

I hope this helps those looking to avoid rewriting a general Black Scholes calculator each time they need to, those looking for a general code/framework to create their own option calculator, or those hoping to play around with a simple option pricing simulation. Each function and class has a complete walkthrough on what it does, should the user be interested. For example, if you want to know how to work the European option function, simply type :

>>> from qcfoptions import bsoptions
>>> help(bsoptions.Euro)

into the command console, and it should return a relatively complete description of the function.

You can install this package from PyPI by using the command :

pip install qcfoptions

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