vanilla-option-pricers 1.1.2

Implementation of fast options pricers and risk for Black-Scholes-Merton and Bachelier normal models

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'