Module options

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Option pricers and sensitivity functions.

Modules§

asian: Asian option pricers.
barrier: Barrier option pricers.
binary: Binary option pricers.
black_scholes_merton: Generalised Black-Scholes-Merton option pricer. The generalised Black-Scholes-Merton European Option pricing model.
finite_difference_pricer: Finite Difference Pricer
implied_volatility: Implied volatility functions. Let’s Be Rational rust implementation based on py_lets_be_rational and paper Let’s Be Rational by Peter Jaeckel with some modifications. If price is below intrinsic value, it returns -INF. If price is above intrinsic value, it returns INF.
log: Log contracts and options.
lookback: Lookback option pricers.
option_contract: Base option traits.
option_flags: Option flags.
option_models: Option models.
power: Power options and contracts.
supershare: Supershare options.
vanilla: Vanilla option.

Asay82: Asay (1982) option pricing parameters.
AsianOption: Asian option.
AsianOptionBuilder: Builder for AsianOption.
Bachelier: Bachelier (1900) option pricing parameters.
BarrierOption: Barrier option.
BinaryOption: Binary option.
Black76: Black (1976) option pricing parameters.
BlackScholes73: Black-Scholes (1973) option pricing parameters.
BlackScholesMerton: Generalised Black-Scholes-Merton European Option pricing model.
BlackScholesMertonBuilder: Builder for BlackScholesMerton.
CappedPowerOption: Capped Power Option.
EuropeanVanillaOption: European vanilla option.
EuropeanVanillaOptionBuilder: Builder for EuropeanVanillaOption.
GarmanKohlhagen83: Garman-Kohlhagen (1983) option pricing parameters.
Heston93: Heston (1993) option pricing parameters.
LogMoneynessContract: Log Moneyness Contract.
LogOption: Log Option.
LogUnderlyingContract: Log Underlying Contract.
LookbackOption: Lookback option.
Merton73: Meron (1973) option pricing parameters.
OptionContract: Option contract data.
OptionContractBuilder: Builder for OptionContract.
PowerContract: Power Contract.
PowerOption: Power Option. Not to be confused with the PoweredOption.
PoweredOption: Powered Option. Not to be confused with the PowerOption.
SupershareOption: Supershare option.

AsianOptionBuilderError: Error type for AsianOptionBuilder
AveragingMethod: Method of averaging (arithmetic or geometric, and continuous or discrete).
BarrierType: Barrier type flag.
BinaryType: Binary type enum.
BlackScholesMertonBuilderError: Error type for BlackScholesMertonBuilder
EuropeanVanillaOptionBuilderError: Error type for EuropeanVanillaOptionBuilder
ExerciseFlag: American/European option type enum.
OptionContractBuilderError: Error type for OptionContractBuilder
SettlementFlag: Instrument settlement flag.
StrikeFlag: Option strike type enum.
TypeFlag: Option type enum.

GeneralisedBlackScholesMerton: Generalised Black-Scholes-Merton option pricing model and it’s Greeks.

implied_volatility: Implied volatility function to calculate the implied volatility of an option given its market price. The method is based on lets be rational paper Let’s Be Rational by Peter Jaeckel with some modifications. If price is below intrinsic value, it returns -INF, if price is above intrinsic value, it returns INF.
iv: A convenience function to calculate the implied volatility. It is a wrapper around implied_volatility function.