Implementation of fast options pricers and risk for Black-Scholes-Merton and Bachelier normal models
Project description
VanillaOptionPricers
Fast and vectorised pricer and implied volatility fitters for Black-Scholes and Merton models
Minimum dependencies on higher level packages
Core dependencies:
python = ">=3.8,<3.11"
numba = ">=0.59.0"
numpy = ">=1.26.4"
Installation
pip install vanilla_option_pricers
Update
pip install --upgrade vanilla_option_pricers
Supported Option types (passed as string):
CALL = 'C'
PUT = 'P'
INVERSE_CALL = 'IC'
INVERSE_PUT = 'IP'
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
File details
Details for the file vanilla_option_pricers-1.0.4.tar.gz.
File metadata
- Download URL: vanilla_option_pricers-1.0.4.tar.gz
- Upload date:
- Size: 20.0 kB
- Tags: Source
- Uploaded using Trusted Publishing? No
- Uploaded via: twine/5.1.0 CPython/3.10.9
File hashes
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 | a1b12bda7521d3d61740c1dc9f3814cad78b8e66047d4077282ec2ce19fbc9af |
|
| MD5 | 3098298ce8015352ddfd2e2c88e03911 |
|
| BLAKE2b-256 | 234e197aff837cfbf6fd3ac092bd2bb83c5caf6e3a6a8c979f54681ec0e39844 |
