You can use it to calculate the price, the implied volatility, the greeks or the put/call parity of an option using the following pricing models:
- Garman-Kohlhagen
- Black-Scholes
- Merton
Contribute:
Send your suggestions, patches, etc using the feedback form or by email to yassinemaaroufi@mibian.net or through GithubNews:
New in version 0.1.2:- Added the possibility to get the implied volatility from the put price
Download:
Installation:
Install using pip### pip install mibian
Or download the library then:
### tar -axf mibian-latest.tgz
### cd mibian-latest
### python setup.py
This library requires scipy to work properly
Tutorial:
>>> import mibian>>> c = mibian.GK([1.4565, 1.45, 1, 2, 30], volatility=20)
>>> c.callPrice
Documentation:
Class/Function list:
BS Black-Scholes
Used for pricing European options on stocks without dividends
BS([underlyingPrice, strikePrice, interestRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z)
eg:
Used for pricing European options on stocks without dividends
BS([underlyingPrice, strikePrice, interestRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z)
eg:
c = mibian.BS([1.4565, 1.45, 1, 30], volatility=20) |
|
| c.callPrice | Returns the call price |
| c.putPrice | Returns the put price |
| c.callDelta | Returns the call delta |
| c.putDelta | Returns the put delta |
| c.callDelta2 | Returns the call dual delta |
| c.putDelta2 | Returns the put dual delta |
| c.callTheta | Returns the call theta |
| c.putTheta | Returns the put theta |
| c.callRho | Returns the call rho |
| c.putRho | Returns the put rho |
| c.vega | Returns the option vega |
| c.gamma | Returns the option gamma |
c = mibian.BS([1.4565, 1.45, 1, 30], callPrice=0.0359) |
|
| c.impliedVolatility | Returns the implied volatility from the call price |
c = mibian.BS([1.4565, 1.45, 1, 30], putPrice=0.0306) |
|
| c.impliedVolatility | Returns the implied volatility from the put price |
c = mibian.BS([1.4565, 1.45, 1, 30], callPrice=0.0359, putPrice=0.0306) |
|
| c.putCallParity | Returns the put-call parity |
GK Garman-Kohlhagen
Used for pricing European options on currencies
GK([underlyingPrice, strikePrice, domesticRate, foreignRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z)
eg:
Used for pricing European options on currencies
GK([underlyingPrice, strikePrice, domesticRate, foreignRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z)
eg:
c = mibian.GK([1.4565, 1.45, 1, 2, 30], volatility=20) |
|
| c.callPrice | Returns the call price |
| c.putPrice | Returns the put price |
| c.callDelta | Returns the call delta |
| c.putDelta | Returns the put delta |
| c.callDelta2 | Returns the call dual delta |
| c.putDelta2 | Returns the put dual delta |
| c.callTheta | Returns the call theta |
| c.putTheta | Returns the put theta |
| c.callRhoD | Returns the call domestic rho |
| c.putRhoD | Returns the put domestic rho |
| c.callRhoF | Returns the call foreign rho |
| c.putRhoF | Returns the call foreign rho |
| c.vega | Returns the option vega |
| c.gamma | Returns the option gamma |
c = mibian.GK([1.4565, 1.45, 1, 2, 30], callPrice=0.0359) |
|
| c.impliedVolatility | Returns the implied volatility from the call price |
c = mibian.GK([1.4565, 1.45, 1, 2, 30], putPrice=0.03) |
|
| c.impliedVolatility | Returns the implied volatility from the put price |
c = mibian.GK([1.4565, 1.45, 1, 2, 30], callPrice=0.0359, putPrice=0.03) |
|
| c.putCallParity | Returns the put-call parity |
Me Merton
Used for pricing European options on stocks with dividends
Me([underlyingPrice, strikePrice, interestRate, annualDividends, daysToExpiration], volatility=x, callPrice=y, putPrice=z)
eg:
Used for pricing European options on stocks with dividends
Me([underlyingPrice, strikePrice, interestRate, annualDividends, daysToExpiration], volatility=x, callPrice=y, putPrice=z)
eg:
c = mibian.Me([52, 50, 1, 1, 30], volatility=20) |
|
| c.callPrice | Returns the call price |
| c.putPrice | Returns the put price |
| c.callDelta | Returns the call delta |
| c.putDelta | Returns the put delta |
| c.callDelta2 | Returns the call dual delta |
| c.putDelta2 | Returns the put dual delta |
| c.callTheta | Returns the call theta |
| c.putTheta | Returns the put theta |
| c.callRho | Returns the call rho |
| c.putRho | Returns the put rho |
| c.vega | Returns the option vega |
| c.gamma | Returns the option gamma |
c = mibian.Me([52, 50, 1, 1, 30], callPrice=0.0359) |
|
| c.impliedVolatility | Returns the implied volatility from the call price |
c = mibian.Me([52, 50, 1, 1, 30], putPrice=0.0306) |
|
| c.impliedVolatility | Returns the implied volatility from the put price |
c = mibian.Me([52, 50, 1, 1, 30], callPrice=0.0359, putPrice=0.0306) |
|
| c.putCallParity | Returns the put-call parity |
