Options Pricing Simulator

A Python library for options pricing and analysis using the Black-Scholes model. This library provides tools for calculating option prices, Greeks, and visualizing option payoffs.

Features

• Black-Scholes option pricing for calls and puts
• Greeks calculations (Delta, Gamma, Theta, Vega, Rho)
• Payoff visualization for individual options and combined positions
• Clear and documented code with type hints and docstrings

Installation

1. Clone the repository:

git clone https://github.com/reetmitra/options_simulator.git
cd options_simulator

2. Install the required packages:

pip install -r requirements.txt

Usage

Run the test script to see the library in action:

python test_options.py

This will:

1. Calculate call and put option prices
2. Compute all Greeks for both options
3. Generate payoff diagrams (saved as PNG files)

Example Code

from black_scholes import black_scholes_call, black_scholes_put
from greeks import delta_call, gamma
from payoff_visualizer import plot_payoff

# Parameters
S = 100  # Stock price
K = 100  # Strike price
T = 1.0  # Time to expiration (years)
r = 0.05  # Risk-free rate
sigma = 0.2  # Volatility

# Calculate option price
call_price = black_scholes_call(S, K, T, r, sigma)
print(f"Call Option Price: ${call_price:.2f}")

# Calculate Greeks
delta = delta_call(S, K, T, r, sigma)
gamma = gamma(S, K, T, r, sigma)
print(f"Delta: {delta:.4f}")
print(f"Gamma: {gamma:.4f}")

Project Structure

• black_scholes.py: Core Black-Scholes pricing functions
• greeks.py: Functions for calculating option Greeks
• payoff_visualizer.py: Tools for visualizing option payoffs
• test_options.py: Comprehensive test script with examples

Dependencies

• NumPy
• SciPy
• Matplotlib

License

This project is licensed under the MIT License - see the LICENSE file for details.

Bash Script

The project includes a bash script (run_tests.sh) that automates the process of running the options simulation. The script:

1. Creates and activates a virtual environment
2. Installs required dependencies
3. Runs the test suite
4. Generates the Jupyter notebook tutorial
5. Cleans up temporary files

To use the bash script:

# Make the script executable
chmod +x run_simulation.sh

# Run the script
./run_simulation.sh

The script will:

• Create a virtual environment named venv
• Install all required packages from requirements.txt
• Run the test suite to verify functionality
• Generate the Jupyter notebook tutorial
• Clean up any temporary files

Note: Make sure you have Python 3.8+ installed on your system before running the script.