MibianLib is an open source python library for options pricing. 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
MibianLib is compatible with python 2.7 and 3.x. This library requires scipy to work properly.
Contribute
Send your suggestions, patches, etc using the feedback form or by email to yassinemaaroufi@mibian.net or through GithubNews
New in version 0.1.3:- Fixed compatibility with Python 3.x
Download
Installation
sh> pip install mibian
Or download the library then:
sh> tar -axf mibian-latest.tgz
sh> cd mibian-latest
sh> python setup.py
Tutorial
py> import mibian
py> c = mibian.GK([1.4565, 1.45, 1, 2, 30], volatility=20)
py> 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 |