py_vollib is a python library for calculating option prices, implied volatility and greeks. At its core is
Peter Jäckel’s source code for
LetsBeRational, an extremely fast and accurate algorithm for obtaining Black’s
implied volatility from option prices.
Building on this solid foundation,
py_vollib provides functions to calculate option prices, implied volatility and
greeks using Black, Black-Scholes, and Black-Scholes-Merton.
py_vollib implements both analytical and numerical
greeks for each of the three pricing formulae.
Comparison with vollib¶
|Python Version Compatibility||2.7 and 3.x||2.7 only|
|Source Language||Python||C with Python SWIG Wrapper|
|Core Dependency (automatically installed by pip)||
Except for the source languages of
almost identical. Each is orders of magnitude faster than traditional implied volatility calculation libraries, thanks
to the algorithms developed by Peter Jäckel. However,
py_vollib, without Numba installed, is about an order of
magnitude slower than
vollib. Numba helps to mitigate this speed gap considerably.
Numba is an optional dependency of
py_vollib . Because Numba installation can be tricky and OS-dependent, we
decided to leave it up to each user to decide how and whether to install Numba. If Numba is present, execution speed
will be faster. If not, the code will still run – just slower.
py_lets_be_rational optionally depends on
numba which in turn depends on
llvm-lite wants LLVM 3.9
being installed. On Mac OSX, use the latest version of HomeBrew to install
numba‘s dependencies as shown below:
brew install email@example.com LLVM_CONFIGfirstname.lastname@example.org/bin/llvm-config pip install llvmlite==0.16.0 pip install numba==0.31.0
For other operating systems, please refer to the
About the reference Python implementation¶
py_vollib.ref_python, a pure python version of the functions in
without any dependency on
py_lets_be_rational. It is provided purely as a reference
implementation for sanity checking. It is not recommended for serious use.
py_vollib is Python 2.7/Python 3.6 compatible. Its core dependency is
py_lets_be_rational package, pure
python implementation of Peter Jäckel’s original C source code.
To install via pip, type the following:
pip install py_vollib
py_vollib via pip will automatically install the necessary dependencies,
except for pip, and Python.
Python, and pip must be installed prior to installing
About “Let’s be Rational”¶
“Let’s Be Rational” is a paper by Peter Jäckel showing “how Black’s volatility can be implied from option prices with as little as two iterations to maximum attainable precision on standard (64 bit floating point) hardware for all possible inputs.”
The paper is accompanied by the full C source code, which resides at www.jaeckel.org/LetsBeRational.7z.
Copyright © 2013-2014 Peter Jäckel. Permission to use, copy, modify, and distribute this software is freely granted, provided that this notice is preserved. WARRANTY DISCLAIMER The Software is provided "as is" without warranty of any kind, either express or implied, including without limitation any implied warranties of condition, uninterrupted use, merchantability, fitness for a particular purpose, or non-infringement.
Fork the GitHub repository. This will make it available under your username e.g.
Clone that repo on your computer, change the code as you wish. Commit and push it, and create a pull request. That’s all.
cd docs sphinx-apidoc -f -o apidoc ../py_vollib make html
- py_vollib modules
- py_vollib package
- py_vollib.black package
- py_vollib.black_scholes package
- py_vollib.black_scholes_merton package
- py_vollib.helpers package
- py_vollib.ref_python package
- py_vollib package