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https://github.com/ibaris/optionpy
The optionpy package makes pricing of option contracts and calculating the Greeks fast.
https://github.com/ibaris/optionpy
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The optionpy package makes pricing of option contracts and calculating the Greeks fast.
- Host: GitHub
- URL: https://github.com/ibaris/optionpy
- Owner: ibaris
- License: other
- Created: 2021-07-02T18:58:59.000Z (over 3 years ago)
- Default Branch: main
- Last Pushed: 2021-12-11T15:11:55.000Z (almost 3 years ago)
- Last Synced: 2024-10-07T21:39:56.657Z (30 days ago)
- Language: Python
- Homepage:
- Size: 2.9 MB
- Stars: 3
- Watchers: 1
- Forks: 2
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
# Introduction
The `optionpy` package makes pricing of option contracts and calculating the *Greeks* fast.
# Key Features
* Calculate the quantities, like:
* Fair Value : Fair value calculated with the BSM model and the volatility of the underlying (`sigma`)
* ITM : A bool that indicates if the option in **In The Money**.
* IV : Implied volatility
* Delta, Vega, Theta, Rho, Epsilon, Gamma : The greeks.
* Nd1, Nd2 : The probability of the event that the underlying price is over the strike price ($S_t≥K$) in the risk-neutral
world.
* All function are vectorized.
* An advanced search and selection routine.
# Examples
Import OptionPy and other packages.
````python
import optionpy as opy
import numpy as np
`````
Generate random values.
````python
kind = np.random.choice([-1, 1], 1000)
s0 = np.random.uniform(low=50, high=150, size=(1000,))
k = np.random.uniform(low=50, high=150, size=(1000,)).round(2)
r = 0.01
sigma = np.random.uniform(low=0.05, high=0.5, size=(1000,)).round(2)
t = np.random.randint(1, 28, 1000)
````
Initialize the option class.
````python
option = opy.Option(kind=kind, s0=s0, k=k, r=r, sigma=sigma, t=t)
option
````
````console
Kind Start End Maturity S0 Strike RFR \
0 1.0 2021-07-29 2021-08-08 0.027397 58.004210 51.21 0.01
1 -1.0 2021-07-29 2021-08-14 0.043836 98.451153 103.22 0.01
2 -1.0 2021-07-29 2021-08-07 0.024658 80.159073 59.73 0.01
3 -1.0 2021-07-29 2021-08-24 0.071233 56.408618 95.96 0.01
4 -1.0 2021-07-29 2021-08-23 0.068493 53.316540 125.57 0.01
.. ... ... ... ... ... ... ...
995 1.0 2021-07-29 2021-08-02 0.010959 74.442832 135.33 0.01
996 -1.0 2021-07-29 2021-08-07 0.024658 93.799969 55.20 0.01
997 1.0 2021-07-29 2021-08-17 0.052055 93.193626 149.94 0.01
998 1.0 2021-07-29 2021-08-19 0.057534 109.998472 108.17 0.01
999 -1.0 2021-07-29 2021-07-30 0.002740 139.401736 74.22 0.01
Volatility Dividend Fair Value Premium ITM IV Delta \
0 0.10 0.0 6.808238e+00 0.0 True 0.10 1.000000e+00
1 0.39 0.0 6.170877e+00 0.0 True 0.39 -7.030166e-01
2 0.37 0.0 1.492924e-07 0.0 False 0.37 -1.729793e-07
3 0.37 0.0 3.948305e+01 0.0 True 0.37 -9.999999e-01
4 0.24 0.0 7.216748e+01 0.0 True 0.24 -1.000000e+00
.. ... ... ... ... ... ... ...
995 0.18 0.0 3.234953e-222 0.0 False 0.18 7.329169e-221
996 0.46 0.0 7.106681e-14 0.0 False 0.46 -7.936171e-14
997 0.21 0.0 1.008802e-23 0.0 False 0.21 2.289562e-23
998 0.35 0.0 4.674266e+00 0.0 True 0.35 5.981234e-01
999 0.29 0.0 0.000000e+00 0.0 False 0.29 -0.000000e+00
Vega Theta Rho Epsilon \
0 1.592872e-14 -1.402629e-03 1.402629e-02 -1.589156e+00
1 7.133997e-02 -8.488029e-02 -3.304490e-02 3.033986e+00
2 1.149605e-07 -2.359237e-07 -3.455791e-09 3.418979e-07
3 4.210952e-08 2.627139e-03 -6.830639e-02 4.018148e+00
4 4.060452e-42 3.437918e-03 -8.594796e-02 3.651818e+00
.. ... ... ... ...
995 1.812494e-220 -4.079606e-220 5.975678e-223 -5.979223e-221
996 8.779333e-14 -2.241548e-13 -1.853061e-15 1.835538e-13
997 4.863145e-23 -2.693345e-23 1.105456e-24 -1.110707e-22
998 1.020590e-01 -8.672366e-02 3.516401e-02 -3.785331e+00
999 0.000000e+00 0.000000e+00 -0.000000e+00 0.000000e+00
Gamma Nd1 Nd2
0 1.728043e-13 1.000000e+00 1.000000e+00
1 4.305262e-02 7.030166e-01 7.306406e-01
2 1.961064e-07 1.729793e-07 2.346996e-07
3 5.021196e-08 9.999999e-01 1.000000e+00
4 8.689446e-42 1.000000e+00 1.000000e+00
.. ... ... ...
995 1.658026e-219 7.329169e-221 4.029708e-221
996 8.797284e-14 7.936171e-14 1.361784e-13
997 5.122297e-23 2.289562e-23 1.417063e-23
998 4.188742e-02 5.981234e-01 5.653469e-01
999 0.000000e+00 0.000000e+00 0.000000e+00
[1000 rows x 21 columns]
````
Select where the Delta is greater than 0.3 and smaller than 0.35:
````python
option.select_where("Delta", ">=0.30", "<=0.35")
````
# Installation
There are currently different methods to install `optionpy`.
### Using pip
The ` var ` package is provided on pip. You can install it with::
pip install optionpy
### Standard Python
You can also download the source code package from this repository or from pip. Unpack the file you obtained into some directory (
it can be a temporary directory) and then run::
python setup.py install
