jetblack-options

This repository contains reference implementations of option pricing formulae implemented in Python.

It has no dependencies.

There is an online demonstration of some of the valuations here (source code here).

Status

This is currently considered alpha.

Usage

The library can be installed as a package.

pip install jetblack-options

An obvious place to start would be with Black-Scholes.

from jetblack_options.european.black_scholes_merton import (
    price,
    delta,
    make_numeric_greeks
)

is_call = True
S = 110 # Asset price.
K = 100 # Strike price.
r = 0.1 # 10% risk free rate.
q = 0.08 # 8% dividend.
T = 6/12 # Half a year till expiry.
v = 0.125 # 12.5% volatility.

b = r - q # Cost of carry for generalized Black-Scholes.

p = price(is_call, S, K, T, r, b, v)
d = delta(is_call, S, K, T, r, b, v)

# Calculate the delta by bumping the price.
ng = make_numeric_greeks(is_call=True)
d1 = ng.delta(S, K, T, r, b, v)

For more information read the docs.