{"id":13533743,"url":"https://github.com/vollib/vollib","last_synced_at":"2025-04-01T22:30:36.481Z","repository":{"id":29817309,"uuid":"33361783","full_name":"vollib/vollib","owner":"vollib","description":"Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational.  lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Scholes-Merton.","archived":false,"fork":false,"pushed_at":"2023-06-05T12:27:02.000Z","size":72,"stargazers_count":674,"open_issues_count":3,"forks_count":92,"subscribers_count":17,"default_branch":"master","last_synced_at":"2024-11-02T20:33:25.916Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":"http://www.vollib.org/","language":"Python","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/vollib.png","metadata":{"files":{"readme":"README.MD","changelog":null,"contributing":null,"funding":null,"license":"LICENSE.TXT","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null}},"created_at":"2015-04-03T12:13:28.000Z","updated_at":"2024-10-30T23:57:44.000Z","dependencies_parsed_at":"2024-01-25T03:02:30.280Z","dependency_job_id":"8d624e7b-6715-4da8-9ca0-164eace9d23f","html_url":"https://github.com/vollib/vollib","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vollib%2Fvollib","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vollib%2Fvollib/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vollib%2Fvollib/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/vollib%2Fvollib/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/vollib","download_url":"https://codeload.github.com/vollib/vollib/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":246720416,"owners_count":20822898,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2024-08-01T07:01:22.708Z","updated_at":"2025-04-01T22:30:36.205Z","avatar_url":"https://github.com/vollib.png","language":"Python","funding_links":[],"categories":["Analytic tools","Python","Python：量化金融第一生态"],"sub_categories":["Pricing","Financial Instruments and Pricing","二、金融工具定价与估值"],"readme":"# `vollib`\n\n`vollib` is a python library for calculating option prices, \nimplied volatility and greeks. At its core is Peter Jäckel's \nsource code for `LetsBeRational`, an extremely fast and accurate algorithm \nfor obtaining Black's implied volatility from option prices.\n\nBuilding on this solid foundation, `vollib` provides functions \nto calculate option prices, implied volatility and greeks using \nBlack, Black-Scholes, and Black-Scholes-Merton. `vollib` \nimplements both analytical and numerical greeks for each of the three pricing formulae.\n\n### About the initial release\n\nThis is the initial release of `vollib`.  Tests and documentation are still incomplete.\n\n### Dependencies\n\n`vollib` was written in Python 2.7.  It depends on the ```lets_be_rational``` package, a simple (SWIG) wrapper around Peter Jäckel's original C source code.  \n\nTo install via pip, type the following:\n\n```\n\u003e\u003e\u003e pip install vollib\n```\n\nInstalling `vollib` via pip will automatically install the necessary dependencies,\nexcept for SWIG, pip, and Python.  This has been tested to work on Windows, Linux and Macintosh OS X.\n\nPython, pip and SWIG must be installed prior to installing ```vollib```. \n\n\n`lets_be_rational` is quite stable compared to `vollib`, which is likely to be updated frequently.\n\nFor those who wish to clone the vollib repo, you might prefer to install `lets_be_rational` \nseparately with pip, since this takes care of the C compilation.\n\n### About \"Let's be Rational\":\n\n[\"Let's Be Rational\"](http://www.pjaeckel.webspace.virginmedia.com/LetsBeRational.pdf) is a paper by [Peter Jäckel](http://jaeckel.org) 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.\"*\n\nThe paper is accompanied by the full C source code, which resides at [www.jaeckel.org/LetsBeRational.7z](www.jaeckel.org/LetsBeRational.7z).\n\n```\nCopyright © 2013-2014 Peter Jäckel.\n\nPermission to use, copy, modify, and distribute this software is freely granted,\nprovided that this notice is preserved.\n\nWARRANTY DISCLAIMER\nThe Software is provided \"as is\" without warranty of any kind, either express or implied,\nincluding without limitation any implied warranties of condition, uninterrupted use,\nmerchantability, fitness for a particular purpose, or non-infringement.\n```\n\n### Links:\n\n\n  * [Let's Be Rational](http://www.pjaeckel.webspace.virginmedia.com/LetsBeRational.pdf)\n\n  *  [pip](https://pypi.python.org/pypi/pip)\n\n  *  [SWIG](http://www.swig.org/download.html)\n  \n  * [Licence](http://vollib.org/license)\n\n  * [Vollib Home](http://vollib.org)\n\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fvollib%2Fvollib","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fvollib%2Fvollib","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fvollib%2Fvollib/lists"}