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black_scholes

A Black Scholes option pricing library.

This library provides implementations of the Black-Scholes option pricing model along with the Black 76 model for options on futures and the Black-Scholes-Merton model for options on dividend-paying stocks.

Features

• European call and put option pricing
• Full set of Greeks (Delta, Gamma, Theta, Vega, Rho, Vanna, Vomma, Charm)
• Implied volatility calculation
• Support for multiple option models
• High-performance calculations with caching

Structs

PricesAndGreeks

Container for option prices and Greeks.

Functions

black76

Returns call and put prices and Greeks using the Black 76 model for options on futures.

bsm_compute_all

Returns call and put prices and Greeks using Black-Scholes-Merton formula.

call

Returns standard BS call option formula.

call_charm

Returns charm of a BS call option

call_delta

Returns delta of a BS call option

call_discount

Returns BS call option formula with discount and volatility already computed.

call_gamma

Returns gamma of a BS call option

call_iv

Returns implied volatility from a call option

call_iv_guess

Returns implied volatility from a call option with initial guess

call_rho

Returns rho of a BS call option

call_theta

Returns theta of a BS call option

call_vanna

Returns vanna of a BS call option

call_vega

Returns vega of a BS call option

call_vomma

Returns vomma of a BS call option

compute_all

Returns call and put prices and Greeks. Due to caching the complex computations (such as N(d1)), this implementation is faster if you need to obtain all the information for a given stock price and strike price.

put

Returns BS put option formula.

put_charm

Returns charm of a BS put option

put_delta

Returns delta of a BS put option

put_discount

Returns BS put option formula with discount and volatility already computed.

put_gamma

Returns gamma of a BS put option

put_iv

Returns implied volatility from a put option

put_iv_guess

Returns implied volatility from a put option with initial guess

put_rho

Returns rho of a BS put option

put_theta

Returns theta of a BS put option

put_vanna

Returns vanna of a BS put option

put_vega

Returns vega of a BS put option

put_vomma

Returns vomma of a BS put option

validate_params

Validates that the input parameters for option pricing are within reasonable bounds.