stock-options-python 0.1.0

Fast option pricing Greeks calculations using Black-Scholes and Bjerksund-Stensland models

stock-options-python

Fast Python bindings for option pricing Greeks calculations, powered by Rust.

Installation

pip install stock-options-python

Or build from source:

pip install maturin
maturin develop

Usage

import stock_options_python as sop

# Option parameters
s = 100.0      # Current stock price
k = 105.0      # Strike price
t = 0.5        # Time to expiration (years)
r = 0.05       # Risk-free rate (5%)
sigma = 0.2    # Volatility (20%)
q = 0.01       # Dividend yield (1%)

# Black-Scholes (European options)
delta = sop.bs_delta(s, k, t, r, sigma, q, option_type='call')
print(f"Call Delta: {delta:.4f}")

# Get all Greeks at once
greeks = sop.bs_greeks(s, k, t, r, sigma, q, option_type='call')
print(f"Delta: {greeks.delta:.4f}")
print(f"Gamma: {greeks.gamma:.4f}")
print(f"Theta: {greeks.theta:.4f} (per day)")
print(f"Vega:  {greeks.vega:.4f}")
print(f"Rho:   {greeks.rho:.4f}")

# Bjerksund-Stensland (American options)
am_greeks = sop.am_greeks(s, k, t, r, sigma, q, option_type='put')
print(f"\nAmerican Put Delta: {am_greeks.delta:.4f}")

API Reference

Black-Scholes Functions (European Options)

Function	Description
bs_delta(s, k, t, r, sigma, q=0, option_type='call')	Delta - sensitivity to underlying price
bs_gamma(s, k, t, r, sigma, q=0)	Gamma - rate of change of delta
bs_theta(s, k, t, r, sigma, q=0, option_type='call')	Theta - time decay (per day)
bs_vega(s, k, t, r, sigma, q=0)	Vega - sensitivity to volatility
bs_rho(s, k, t, r, sigma, q=0, option_type='call')	Rho - sensitivity to interest rate
bs_greeks(s, k, t, r, sigma, q=0, option_type='call')	All Greeks at once

Bjerksund-Stensland Functions (American Options)

Function	Description
am_delta(s, k, t, r, sigma, q=0, option_type='call')	Delta
am_gamma(s, k, t, r, sigma, q=0, option_type='call')	Gamma
am_theta(s, k, t, r, sigma, q=0, option_type='call')	Theta (per day)
am_vega(s, k, t, r, sigma, q=0, option_type='call')	Vega
am_rho(s, k, t, r, sigma, q=0, option_type='call')	Rho
am_greeks(s, k, t, r, sigma, q=0, option_type='call')	All Greeks at once

Parameters

Parameter	Description
s	Current price of the underlying asset
k	Strike price of the option
t	Time to expiration in years
r	Risk-free interest rate (e.g., 0.05 for 5%)
sigma	Volatility (e.g., 0.2 for 20%)
q	Dividend yield (e.g., 0.01 for 1%), default 0
option_type	'call' or 'put', default 'call'

Performance

This library uses Rust for calculations, providing significant performance improvements over pure Python implementations, especially for batch calculations.

License

BSD 3-Clause License

Credits

Built on top of the stock-options Rust crate.