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quantsbin/README.md

PyPi version PyPi Status Github Stars Twitter follows

Quantsbin

Open source library for finance.

Quantsbin 1.0.3, which started as a weekend project is currently in its initial phase and incorporates tools for pricing and plotting of vanilla option prices, greeks and various other analysis around them. We are working on optimising calculations and expanding the scope of library in multiple directions for future releases.

Quantsbin 1.0.3 includes

  1. Option payoff, premium and greeks calculation for vanilla options on Equity, FX, Commodity and Futures.
  2. Capability to calculate greeks numerically for all models and also analytically for Black Scholes Model.
  3. Price vanilla options with European expiry using BSM, Binomial tree and MonteCarlo with option to incorporate continuous compounded dividend yield for Equity options, cost and convenience yield for Commodity options and local and foreign risk-free rate in case of FX options. It also allows option to give discrete dividends in cased of Equity options.
  4. Price vanilla options with American expiry using Binomial tree and MonteCarlo(Longstaff Schwartz) method. There is option to provide discrete dividends for Equity options for both the models.
  5. Implied volatility calculation under BSM framework model.
  6. Option to create user defined or standard strategies using multiple single underlying options and directly generate and plot valuation and greeks for these strategies.

License

MIT LICENCE

Dependencies and Installation details

  scipy==1.6.3
  pandas==1.2.4
  matplotlib==3.4.2
  numpy==1.18.0     

Install using setup.py:

>>> python setup.py install

Install using pip:

>>> pip install quantsbin

Detailed documentation

Refer to our Documentation page

Our Website

For collaboration and suggestion reach us at Quantsbin

Tutorial

Refer to our Tutorial page

Note

For Quantsbin 1.0.3 documentation are still WIP.

Pinned

  1. Quantitative Finance tools

    Python 81 29

  2. POC for genreating trade signal basedon technical indicators

    Python 1

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Contribution activity

January 2022

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