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'
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Source Distribution
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