https://github.com/CarloLepelaars/blackscholes
Black Scholes calculator for Python (up to 3rd order Greeks)
https://github.com/CarloLepelaars/blackscholes
blackscholes finance options python
Last synced: 13 days ago
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Black Scholes calculator for Python (up to 3rd order Greeks)
- Host: GitHub
- URL: https://github.com/CarloLepelaars/blackscholes
- Owner: CarloLepelaars
- License: mit
- Created: 2022-12-03T13:46:01.000Z (almost 3 years ago)
- Default Branch: main
- Last Pushed: 2024-12-30T13:41:35.000Z (10 months ago)
- Last Synced: 2025-01-23T00:01:38.478Z (9 months ago)
- Topics: blackscholes, finance, options, python
- Language: Python
- Homepage: https://carlolepelaars.github.io/blackscholes/
- Size: 1.52 MB
- Stars: 32
- Watchers: 1
- Forks: 8
- Open Issues: 6
-
Metadata Files:
- Readme: .github/README.MD
- Contributing: docs/contributing.md
- License: LICENSE
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README
# blackscholes
[](https://github.com/astral-sh/uv)
[](https://github.com/astral-sh/ruff)
A Black-Scholes calculator for Python that includes up to the third-order Greeks.
Supports the Black-Scholes-Merton model,
Black-76 model and option structures.
There is also a graphical interface available at: [https://carlo.ai/tools/blackscholes](https://carlo.ai/tools/blackscholes)
## Installation
`pip install blackscholes`
## Examples
### Input variables
```python3
S = 55.0 # Asset price of 55
K = 50.0 # Strike price of 50
T = 1.0 # 1 Year to maturity
r = 0.0025 # 0.25% Risk-free rate
sigma = 0.15 # 15% Volatility
q = 0.0 # 0% Annual Dividend Yield
```
### Call
```python3
from blackscholes import BlackScholesCall
call = BlackScholesCall(S=S, K=K, T=T, r=r, sigma=sigma, q=q)
call.price() ## 6.339408
call.delta() ## 0.766407
call.spot_delta() ## 0.7683
call.charm() ## 0.083267
```
### Put
```python3
from blackscholes import BlackScholesPut
put = BlackScholesPut(S=S, K=K, T=T, r=r, sigma=sigma, q=q)
put.price() ## 1.214564
put.delta() ## -0.23359
put.spot_delta() ## -0.23417
put.charm() ## 0.083267
```
### Black-76
The Black-76 model is often used specifically for options and futures and bonds.
`blackscholes` also supports this model. To see all available greeks
check out section [4. The Greeks (Black-76)](https://carlolepelaars.github.io/blackscholes/4.the_greeks_black76).
**Call Example**
```python
from blackscholes import Black76Call
call = Black76Call(F=55, K=50, T=1, r=0.0025, sigma=0.15)
call.price() ## 6.2345
call.delta() ## 0.7594
call.vomma() ## 45.1347
```
**Put Example**
```python
from blackscholes import Black76Put
put = Black76Put(F=55, K=50, T=1, r=0.0025, sigma=0.15)
put.price() ## 1.2470
put.delta() ## -0.2381
put.vomma() ## 45.1347
```
### Structures
`blackscholes` offers the following six option structures:
- Straddle
- Strangle
- Butterfly
- Iron Condor
- Spreads
- Iron Butterfly
All structures have a long and short version. To learn more
check out section [6. Option Structures](https://carlolepelaars.github.io/blackscholes/6.option_structures).
**Long Straddle Example**
```python3
from blackscholes import BlackScholesStraddleLong
straddle = BlackScholesStraddleLong(S=55, K=50, T=1.0,
r=0.0025, sigma=0.15)
straddle.price() ## 7.5539
straddle.delta() ## 0.5328
```
### Binary options
Binary options are also called exotic, digital or bet options. `blackscholes` supports Greeks for binary calls and puts.
## Contributing
We very much welcome new contributions! Check out the [Github Issues](https://github.com/CarloLepelaars/blackscholes/issues)
to see what is currently being worked on.
Also check out [Contributing](https://carlolepelaars.github.io/blackscholes/contributing) in the documentation
to learn more about
contributing to [blackscholes](https://github.com/CarloLepelaars/blackscholes).