vollib 1.0.8

Python library for calculating option prices, implied volatility and greeks.

vollib

vollib is a python library for calculating option prices, implied volatility and greeks. At its core is Peter Jaeckel's source code for LetsBeRational, an extremely fast and accurate algorithm for obtaining Black's implied volatility from option prices.

Building on this solid foundation, vollib provides functions to calculate option prices, implied volatility and greeks using Black, Black-Scholes, and Black-Scholes-Merton. vollib implements both analytical and numerical greeks for each of the three pricing formulae.

Installation

pip install vollib

Dependencies

• cody-special - High-precision error functions and normal distribution
• piecewise-rational - Shape-preserving piecewise rational cubic interpolation
• lets_be_rational - Pure Python implementation of Peter Jaeckel's LetsBeRational
• numpy
• pandas
• scipy
• simplejson

About the reference Python implementation

vollib contains vollib.ref_python, a pure python version of the functions in vollib.*. It is provided purely as a reference implementation for sanity checking.

About "Let's be Rational"

"Let's Be Rational" is a paper by Peter Jaeckel showing "how Black's volatility can be implied from option prices with as little as two iterations to maximum attainable precision on standard (64 bit floating point) hardware for all possible inputs."

The paper is accompanied by the full C source code, which resides at www.jaeckel.org/LetsBeRational.7z.

Copyright (c) 2013-2014 Peter Jaeckel.

Permission to use, copy, modify, and distribute this software is freely granted,
provided that this notice is preserved.

WARRANTY DISCLAIMER
The Software is provided "as is" without warranty of any kind, either express or implied,
including without limitation any implied warranties of condition, uninterrupted use,
merchantability, fitness for a particular purpose, or non-infringement.

Links

• Let's Be Rational
• Licence
• Vollib Home
• GitHub

License

MIT