https://github.com/quantsbin/Quantsbin

Quantitative Finance tools
https://github.com/quantsbin/Quantsbin

binomial-tree blackscholes derivative-pricing derivatives finance monte-carlo-methods monte-carlo-simulation option-pricing options python quantitative-finance quants

Last synced: 3 months ago
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Quantitative Finance tools

• Host: GitHub
• URL: https://github.com/quantsbin/Quantsbin
• Owner: quantsbin
• License: mit
• Created: 2018-07-04T02:23:09.000Z (over 6 years ago)
• Default Branch: master
• Last Pushed: 2023-07-06T22:41:50.000Z (over 1 year ago)
• Last Synced: 2024-11-05T03:37:28.017Z (3 months ago)
• Topics: binomial-tree, blackscholes, derivative-pricing, derivatives, finance, monte-carlo-methods, monte-carlo-simulation, option-pricing, options, python, quantitative-finance, quants
• Language: Python
• Homepage:
• Size: 156 KB
• Stars: 496
• Watchers: 16
• Forks: 68
• Open Issues: 2
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

• awesome-quant - Quantsbin - Tools for pricing and plotting of vanilla option prices, greeks and various other analysis around them. (Python / Financial Instruments and Pricing)

README

        
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# Quantsbin

Open source library for finance.

Quantsbin 1.0.3, which started as a weekend project is currently in its initial phase and

incorporates tools for pricing and plotting of vanilla option prices, greeks and various other analysis around them.

We are working on optimising calculations and expanding the scope of library in multiple directions for future releases.

## Quantsbin 1.0.3 includes

   1. Option payoff, premium and greeks calculation for vanilla options on Equity, FX, Commodity and Futures.

   2. Capability to calculate greeks numerically for all models and also analytically for Black Scholes Model.

   3. Price vanilla options with European expiry using BSM, Binomial tree and MonteCarlo with option to 

      incorporate continuous compounded dividend yield for Equity options,

      cost and convenience yield for Commodity options and

      local and foreign risk-free rate in case of FX options.

      It also allows option to give discrete dividends in cased of Equity options.

   4. Price vanilla options with American expiry using Binomial tree and MonteCarlo(Longstaff Schwartz) method.

      There is option to provide discrete dividends for Equity options for both the models.

   5. Implied volatility calculation under BSM framework model.

   6. Option to create user defined or standard strategies using multiple single underlying options and

      directly generate and plot valuation and greeks for these strategies.

## License

[MIT LICENCE](https://github.com/quantsbin/Quantsbin/blob/master/LICENSE/)

## Dependencies and Installation details

      scipy==1.6.3

      pandas==1.2.4

      matplotlib==3.4.2

      numpy==1.18.0     

    

Install using setup.py:

```

>>> python setup.py install

```

Install using pip:

```

>>> pip install quantsbin

```

## Detailed documentation

Refer to our [Documentation](http://www.quantsbin.com/introduction-to-option-pricing-using-python-library-quantsbin/) page

## Our Website

For collaboration and suggestion reach us at [Quantsbin](http://www.quantsbin.com/)

## Tutorial

Refer to our [Tutorial](http://www.quantsbin.com/introduction-to-option-pricing-using-python-library-quantsbin/) page

## Note

For Quantsbin 1.0.3 documentation are still WIP.