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https://github.com/gabrielepompa88/pyBlackScholesAnalytics

Options and Option Strategies analytics for educational purpose using the Black-Scholes Model
https://github.com/gabrielepompa88/pyBlackScholesAnalytics
blackscholes derivatives derivatives-pricing digital-options educational educational-project finance greeks option-strategies portfolio-management profit-loss quant quantitative-finance tutorials
Last synced: about 2 months ago
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Options and Option Strategies analytics for educational purpose using the Black-Scholes Model
Host: GitHub
URL: https://github.com/gabrielepompa88/pyBlackScholesAnalytics
Owner: gabrielepompa88
License: mit
Created: 2020-08-11T14:18:39.000Z (about 4 years ago)
Default Branch: master
Last Pushed: 2022-05-31T11:35:37.000Z (over 2 years ago)
Last Synced: 2024-07-07T00:05:34.711Z (3 months ago)
Topics: blackscholes, derivatives, derivatives-pricing, digital-options, educational, educational-project, finance, greeks, option-strategies, portfolio-management, profit-loss, quant, quantitative-finance, tutorials
Language: Jupyter Notebook
Homepage:
Size: 7.54 MB
Stars: 106
Watchers: 9
Forks: 28
Open Issues: 2
Metadata Files:
- Readme: README.md
- License: LICENSE
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# pyBlackScholesAnalytics

[![Binder](https://mybinder.org/badge_logo.svg)](https://mybinder.org/v2/gh/gabrielepompa88/pyBlackScholesAnalytics/master) [![nbviewer](https://raw.githubusercontent.com/jupyter/design/master/logos/Badges/nbviewer_badge.svg)](https://nbviewer.jupyter.org/github/gabrielepompa88/pyBlackScholesAnalytics/tree/master/) [![PyPI version](https://badge.fury.io/py/pyBlackScholesAnalytics.svg)](https://badge.fury.io/py/pyBlackScholesAnalytics)

[**pyBlackScholesAnalytics**](https://github.com/gabrielepompa88/pyBlackScholesAnalytics) is a Python package implementing analytics for options and option strategies under the Black-Scholes Model for educational purposes.

- [Summary](#Summary)

- [Installation](#Installation)

- [Components](#Components)

- [Resources](#Resources)

  - [Tutorials](#Tutorials) 

  - [Examples](#Examples)

  - [Gallery](#Gallery)

- [Contacts](#Contacts)

# Summary 

[**pyBlackScholesAnalytics**](https://github.com/gabrielepompa88/pyBlackScholesAnalytics) package is a Python package designed to use the well known Black-Scholes model 

to evaluate price, P&L and greeks of European options (both plain-vanilla and simple equity exotics 

such as cash-or-nothing Digital options), as well as simple option strategies built on them.

The package has been developed as a spin-off project of the ["IT for Business and Finance"](https://github.com/gabrielepompa88/IT-For-Business-And-Finance-2019-20) class held at the University of Siena for the Master degree in Finance in 2020.

[**pyBlackScholesAnalytics**](https://github.com/gabrielepompa88/pyBlackScholesAnalytics) places itself in the middle between the coding style and level of a master student and that required for a junior quant at an investment bank. The aim is to address the gap between the two providing a playground for students to master financial concepts related to options and option strategies and implementing a dedicated comprehensive object-oriented architecture. 

The package itself tries to follow the style guide for Python code [PEP8](https://www.python.org/dev/peps/pep-0008/). Intentional as well as unintentional departures from this style may occur in code. I'd like to thank in advance anyone who will make me aware of possible improvements in style and clarity of code. 

# Installation 

You can install [**pyBlackScholesAnalytics**](https://github.com/gabrielepompa88/pyBlackScholesAnalytics) simply typing 

`pip install pyBlackScholesAnalytics`

Latest version of the package is available on [PyPI](https://pypi.org/project/pyBlackScholesAnalytics/). If you encounter problems during installation please share with me.

# Components 

The current version of the package features the following components:

- `options`: definitions for `EuropeanOption` abstract base-class as well 

as `PlainVanillaOption` and `DigitalOption` derived classes

- `portfolio`: definition of `Portfolio` class implementing analytics for portfolios of options

- `plotter`: definitions for `Plotter` abstract base-class as well 

as `OptionPlotter` and `PortfolioPlotter` derived classes

- `utils`: definition of general utility functions

- `numeric_routines`: definition of `NumericGreeks` class implementing option greeks through finite-difference methods

# Resources 

As far as the educational purpose is concerned, I find the [**pyBlackScholesAnalytics**](https://github.com/gabrielepompa88/pyBlackScholesAnalytics) package itself helpful as much as the way in which its final version can be progressively built. In my experience, the constructive approach is ubiquitous in the real life of a Quant/Strat: a business need is first formulated by a trader or another stakeholder, then tackled by the Quant/Strat team with an _ad hoc_ analysis, then a tactic short-term implementation of the response is produced and, finally, a strategic and robust long-term solution is designed and implemented. For this reason, the package is complemented by a series of 4 Tutorials in the form of [Jupyter Notebooks](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/tree/master/Notebook_Tutorials) and [Youtube Videos](https://www.youtube.com/channel/UC77o5i2ePrXjwlQQLQeYsBw/playlists). These tutorials aim to present the package step-by step in a constructive way building on the ideas of the Object-Oriented paradygm as improvements over sequential implementations of the same financial concepts. 

Moreover several [examples](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/tree/master/examples) showcase the features of [**pyBlackScholesAnalytics**](https://github.com/gabrielepompa88/pyBlackScholesAnalytics) package and can be used as entry-point to begin the exploration of the package.

## Tutorials 

Jupyter Notebooks are available in GitHub, rendered statically thanks to [Jupyter nbviewer](https://nbviewer.jupyter.org/) and interactively on your web browser thanks to [Binder](https://mybinder.org/). Each Jupyter Notebook is complemented with a dedicated Youtube video playlist.

| Jupyter Notebook | GitHub | nbviewer | Binder | Youtube Video |

|:-------------------|:--------------------------:|:--------------------------:|:--------------------------:|:------------------:|

| **Derivatives Analytics - Introduction to Object Oriented Programming**: in this tutorial we introduce _Object-Oriented_ Programming in Python. We first make a non-financial example, developing the intuition behind the need of a change of programming paradigm to be able to cohordinate together different pieces of code. Once we have established the intuition, we then leverage on some basic financial knowledge to develop a Black-Scholes pricer for European call Options, first, and then a more general pricer for Plain-Vanilla put Options as well. | [](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Introduction_to_OOP.ipynb) | [](https://nbviewer.jupyter.org/github/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Introduction_to_OOP.ipynb) | [](https://mybinder.org/v2/gh/gabrielepompa88/pyBlackScholesAnalytics/master?filepath=Notebook_Tutorials/Derivatives_Analytics___Introduction_to_OOP.ipynb) | []( https://www.youtube.com/playlist?list=PLRIS0g8TmV1NI7lr2I7BF9wdJ_PK9mVAz) |

| **Derivatives Analytics - Inheritance and Polymorphism**: in this tutorial we introduce _Inheritance_ and _Polymorphism_ in Python which are two milestones in Object-Oriented programming. We present these concepts introducing Digital cash-or-nothing Options and observing their similarities with Plain-Vanilla Options. Inheritance and Polymorphism allow us to leverage on the financial analogies between these two contracts and eventually represent them more efficiently as derived classes of a unique `EuropeanOption` abstract base class. | [](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Inheritance_and_Polymorphism.ipynb) | [](https://nbviewer.jupyter.org/github/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Inheritance_and_Polymorphism.ipynb) | [](https://mybinder.org/v2/gh/gabrielepompa88/pyBlackScholesAnalytics/master?filepath=Notebook_Tutorials/Derivatives_Analytics___Inheritance_and_Polymorphism.ipynb) | [](https://www.youtube.com/playlist?list=PLRIS0g8TmV1MDAbtaJbx7jerD_cE3X4wL) |

| **Derivatives Analytics - Objects Composition**: in this tutorial we introduce _Composition_ which is an additional way to model relationships among objects, alternatively to Inheritance. We present this relationship introducing a common `MarketEnvironment` under which Option contracts are emitted, a `Portfolio` class is designed to aggregate Options and another `Plotter` class is designed to provide visualization routines. Finally, we examine several Option Strategies which uses the architecture implemented so far. | [](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Objects_Composition.ipynb) | [](https://nbviewer.jupyter.org/github/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Objects_Composition.ipynb) | [](https://mybinder.org/v2/gh/gabrielepompa88/pyBlackScholesAnalytics/master?filepath=Notebook_Tutorials/Derivatives_Analytics___Objects_Composition.ipynb) | [](https://www.youtube.com/playlist?list=PLRIS0g8TmV1PdBUcDT-O6rsMI24Yfbkmr) |

| **Derivatives Analytics - Options Greeks**: in this tutorial we introduce Option Greeks. That is, the derivatives of an option price with respect to its pricing parameters. We provide both a numeric computation using _finite-difference_ methods implemented in `NumericGreeks` class and their analytic expression using the Black-Scholes model. Finally, all features introduced in this and previous tutorial are collected in the `pyBlackScholesAnalytics` Python package which is hereby introduced. | [](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Options_Greeks.ipynb) | [](https://nbviewer.jupyter.org/github/gabrielepompa88/pyBlackScholesAnalytics/blob/master/Notebook_Tutorials/Derivatives_Analytics___Options_Greeks.ipynb) | [](https://mybinder.org/v2/gh/gabrielepompa88/pyBlackScholesAnalytics/master?filepath=Notebook_Tutorials/Derivatives_Analytics___Options_Greeks.ipynb) | [](https://www.youtube.com/playlist?list=PLRIS0g8TmV1ONC1bqof2FjYI_1mJebnro) |

## Examples 

|   |  |

|:-------------------:|:--------------------------|

| [options.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options.py) | This example shows basic usage of `PlainVanillaOption` and `DigitalOption` classes. Basic instantiation examples are provided with combinations of the underlying level (S) and time parameter (t/tau). Price, P&L, first-order greeks as well as Black-Scholes implied-volatility are computed for Plain-Vanilla and Digital Option contracts. |

| [options_other_params.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_other_params.py) | This example shows usage of `PlainVanillaOption` and `DigitalOption` classes. Instantiation examples are provided involving combinations of the underlying level (S), strike-price (K), time parameter (t/tau), as well as underlying volatility (sigma) and short-rate (r) parameters. Price, P&L, first-order greeks as well as Black-Scholes implied-volatility are computed for Plain-Vanilla and Digital Option contracts. |

| [options_IV.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_IV.py) | This example shows usage of `PlainVanillaOption` and `DigitalOption` classes to compute of Black-Scholes implied volatility surfaces for Plain-Vanilla and Digital Option contracts. |

| [options_plot.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot.py) | This example shows basic integration of `PlainVanillaOption` and `DigitalOption` classes with `Plotter` class. Price, P&L and first-order greeks plots are shown for Plain-Vanilla and Digital Option contracts. |

| [options_plot_other_params.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot_other_params.py) | This example shows integration of `PlainVanillaOption` and `DigitalOption` classes with `Plotter` class. Price, P&L and first-order greeks plots are shown for Plain-Vanilla and Digital Option contracts against underlying level (S), strike-price (K), volatility (sigma) and short-rate (r). |

| [options_plot_IV.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot_IV.py) | This example shows integration of `PlainVanillaOption` and `DigitalOption` classes with `Plotter` class (in particular `.plot_IV()` method). Focus is on the visualization of Black-Scholes implied-volatility for Plain-Vanilla and Digital Option contracts both as a line plot and surface-plot. |

| [options_plot_surface.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot_surface.py) | This example shows integration of `PlainVanillaOption` and `DigitalOption` classes with `Plotter` class. Price, P&L and first-order greeks plots are shown for Plain-Vanilla and Digital Option contracts as underlying level (S), strike-price (K), volatility (sigma) and short-rate (r) surface-plots Vs time parameter. |

| [options_numeric_greeks.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_numeric_greeks.py) | This example provides an example of first-order numeric greeks implemented in the `NumericGreeks` class using finite-difference methods for Plain-Vanilla and Digital Option contracts. |

| [options_numeric_analytic_greeks_comparison.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_numeric_analytic_greeks_comparison.py) | This example provides a comparison of first-order greeks for Plain-Vanilla and Digital Option contracts implemented either through finite-difference methods in `NumericGreeks` class or using their analytic expression implemented in `PlainVanillaOption` and `DigitalOption` classes. |

| [portfolio.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/portfolio.py) | This example shows basic usage of `Portfolio` class to construct a derivative portfolio of Plain-Vanilla and Digital Option contracts. Basic instantiation examples are provided with combinations of the underlying level (S) and time parameter (t/tau). Price, P&L, first-order greeks are computed for constructed portfolio and benchmarked with the corresponding metrics calculated combining constituent options metrics. |

| [portfolio_single_strike.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/portfolio_single_strike.py) | This example shows basic usage of `Portfolio` class to construct a derivative portfolio of Plain-Vanilla and Digital Option contracts. Basic instantiation examples are provided with combinations of the underlying level (S), strike-price (K), time parameter (t/tau) as well as underlying volatility (sigma) and short-rate (r) parameters. Price, P&L, first-order greeks are computed for single-strike portfolio. |

| [portfolio_multi_strikes.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/portfolio_multi_strikes.py) | This example shows basic usage of `Portfolio` class to construct a derivative portfolio of Plain-Vanilla and Digital Option contracts. Basic instantiation examples are provided with combinations of the underlying level (S), time parameter (t/tau) as well as underlying volatility (sigma) and short-rate (r) parameters. Price, P&L, first-order greeks are computed for multi-strike portfolio. |

| [bull_spread.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/bull_spread.py) | This example shows usage of `Portfolio` class to create a Bull-Spread option strategy. Basic instantiation examples are provided with combinations of the underlying level (S) and time parameter (t/tau). Price, P&L, first-order greeks are computed and plotted using the `Plotter` class as line plots and surface-plots Vs time parameter. |

| [bull_spread_other_params.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/bull_spread_other_params.py) | This example shows usage of `Portfolio` class to create a Bull-Spread option strategy. Instantiation examples are provided with combinations of the underlying level (S) and time parameter (t/tau) as well as underlying volatility (sigma) and short-rate (r) parameters. Price, P&L, first-order greeks are computed and plotted using the `Plotter` class as line plots and surfaces-plots Vs time parameter. |

| [calendar_spread.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/calendar_spread.py) | This example shows usage of `Portfolio` class to create a Calendar-Spread option strategy. Basic instantiation examples are provided with combinations of the underlying level (S) and time parameter (t). Price, P&L, first-order greeks are computed and plotted using the `Plotter` class as line plots and surface-plots Vs time parameter. |

| [calendar_spread_other_params.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/calendar_spread_other_params.py) | This example shows usage of `Portfolio` class to create a Calendar-Spread option strategy. Instantiation examples are provided with combinations of the underlying level (S) and time parameter (t) as well as underlying volatility (sigma) and short-rate (r) parameters. Price, P&L, first-order greeks are computed and plotted using the `Plotter` class as line plots and surfaces-plots Vs time parameter. |

## Gallery 

Below something you can do using [**pyBlackScholesAnalytics**](https://github.com/gabrielepompa88/pyBlackScholesAnalytics) package to whet your appetite:

- See [options_plot.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot.py) example for Plain-Vanilla and Cash-Or-Nothing Digital Options price, P&L and Greeks examples



  

    

    

  





  

    

    

  



- See [options_plot_surface.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot_surface.py) example for Option surface plots examples 



  

    

    

  





  

    

    

  



- See [options_plot_other_params.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot_other_params.py) example for more pricing parameters dependency examples  



  

    

    

  





  

    

    

  

 


- See [options_plot_IV.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/options_plot_IV.py) example for Black-Scholes implied volatility examples  



  

    

  

 


- See [bull_spread.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/bull_spread.py) example for Bull-Spread Strategy price, P&L and Greeks examples



   

   

   

  





   

  

  

 



- See [calendar_spread.py](https://github.com/gabrielepompa88/pyBlackScholesAnalytics/blob/master/examples/calendar_spread.py) example for Calendar-Spread Strategy price, P&L and Greeks examples



   

  

  





# Contacts 

This project is still at early stages of development, so if you find errors, have comments or suggestions you can reach Gabriele Pompa ([email protected]_). If you wish to contribute, please contact me through [GitHub/gabrielepompa88](https://github.com/gabrielepompa88). If you are interested but feel a bit new to Python, I can recommend the open ["IT for Business and Finance"](https://github.com/gabrielepompa88/IT-For-Business-And-Finance-2019-20) course as a reasonable starting point. 

Thank you in advance for your attention.