vollib package

Subpackages

• vollib.black package
  • Subpackages
    • vollib.black.greeks package
      • Submodules
      • vollib.black.greeks.analytical module
        • vollib.black.greeks.analytical
        • About LetsBeRational:
        • delta()
        • gamma()
        • rho()
        • theta()
        • vega()
      • vollib.black.greeks.numerical module
        • vollib.black.greeks.numerical
        • About LetsBeRational:
        • delta()
        • f()
        • gamma()
        • rho()
        • test()
        • theta()
        • vega()
      • Module contents
        • vollib
        • About LetsBeRational:
  • Submodules
  • vollib.black.implied_volatility module
    • vollib.black.implied_volatility
    • About LetsBeRational:
    • implied_volatility()
    • implied_volatility_of_discounted_option_price()
    • implied_volatility_of_undiscounted_option_price()
    • implied_volatility_of_undiscounted_option_price_limited_iterations()
    • normalised_implied_volatility()
    • normalised_implied_volatility_limited_iterations()
  • Module contents
    • vollib.black
    • About LetsBeRational:
    • black()
    • normalised_black()
    • undiscounted_black()
• vollib.black_scholes package
  • Subpackages
    • vollib.black_scholes.greeks package
      • Submodules
      • vollib.black_scholes.greeks.analytical module
        • vollib.black_scholes.greeks.analytical
        • About LetsBeRational:
        • delta()
        • gamma()
        • rho()
        • theta()
        • vega()
      • vollib.black_scholes.greeks.numerical module
        • vollib.black_scholes.greeks.numerical
        • About LetsBeRational:
        • delta()
        • f()
        • gamma()
        • hull_book_tests()
        • rho()
        • test()
        • theta()
        • vega()
      • Module contents
        • vollib.black_scholes.greeks
        • About LetsBeRational:
  • Submodules
  • vollib.black_scholes.implied_volatility module
    • vollib.black_scholes.implied_volatility
    • About LetsBeRational:
    • implied_volatility()
  • Module contents
    • vollib.black_scholes
    • About LetsBeRational:
    • black_scholes()
• vollib.black_scholes_merton package
  • Subpackages
    • vollib.black_scholes_merton.greeks package
      • Submodules
      • vollib.black_scholes_merton.greeks.analytical module
        • vollib.black_scholes_merton.greeks.analytical
        • About LetsBeRational:
        • delta()
        • gamma()
        • rho()
        • theta()
        • vega()
      • vollib.black_scholes_merton.greeks.numerical module
        • vollib.black_scholes_merton.greeks.numerical
        • About LetsBeRational:
        • delta()
        • f()
        • gamma()
        • rho()
        • test_analytical_vs_numerical()
        • theta()
        • vega()
      • Module contents
  • Submodules
  • vollib.black_scholes_merton.implied_volatility module
    • vollib.black_scholes_merton.implied_volatility
    • About LetsBeRational:
    • implied_volatility()
  • Module contents
    • vollib.black_scholes_merton
    • About LetsBeRational:
    • black_scholes_merton()
• vollib.helpers package
  • Submodules
  • vollib.helpers.constants module
    • vollib.helpers.constants
    • About LetsBeRational:
  • vollib.helpers.distributions module
    • vollib.helpers.distributions
    • About LetsBeRational:
    • CBND()
    • CND()
  • vollib.helpers.doctest_helper module
    • vollib.helpers.doctest_helper
    • About LetsBeRational:
    • run_doctest()
  • vollib.helpers.exceptions module
    • vollib.helpers.exceptions
    • About LetsBeRational:
    • InvalidArgument
    • PriceIsAboveMaximum
    • PriceIsBelowIntrinsic
  • vollib.helpers.numerical_greeks module
    • vollib.helpers.numerical_greeks
    • About LetsBeRational:
    • Note about the parameter “b”:
    • delta()
    • gamma()
    • rho()
    • theta()
    • vega()
  • Module contents
    • vollib.helpers
    • About LetsBeRational:
    • forward_price()
    • pdf()
    • test_binary_flag()
• vollib.ref_python package
  • Subpackages
    • vollib.ref_python.black package
      • Subpackages
        • vollib.ref_python.black.greeks package
          • Submodules
          • vollib.ref_python.black.greeks.analytical module
            • vollib.ref_python.black.greeks.analytical
              • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
            • delta()
            • gamma()
            • rho()
            • theta()
            • vega()
          • vollib.ref_python.black.greeks.numerical module
            • vollib.ref_python.black.greeks.numerical
              • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
            • delta()
            • f()
            • gamma()
            • rho()
            • test()
            • theta()
            • vega()
          • Module contents
      • Submodules
      • vollib.ref_python.black.implied_volatility module
        • vollib.ref_python.black.implied_volatility
          • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
        • implied_volatility()
      • Module contents
        • vollib.ref_python.black
          • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
        • N()
        • black()
        • black_call()
        • black_put()
        • d1()
        • d2()
    • vollib.ref_python.black_scholes package
      • Subpackages
        • vollib.ref_python.black_scholes.greeks package
          • Submodules
          • vollib.ref_python.black_scholes.greeks.analytical module
            • vollib.ref_python.black_scholes.greeks.analytical
              • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
            • delta()
            • gamma()
            • rho()
            • theta()
            • vega()
          • vollib.ref_python.black_scholes.greeks.numerical module
            • vollib.ref_python.black_scholes.greeks.numerical
              • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
            • delta()
            • f()
            • gamma()
            • hull_book_tests()
            • rho()
            • test()
            • theta()
            • vega()
          • Module contents
      • Submodules
      • vollib.ref_python.black_scholes.implied_volatility module
        • vollib.ref_python.black_scholes.implied_volatility
          • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
        • implied_volatility()
      • Module contents
        • vollib.ref_python.black_scholes
          • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
        • black_scholes()
        • d1()
        • d2()
    • vollib.ref_python.black_scholes_merton package
      • Subpackages
        • vollib.ref_python.black_scholes_merton.greeks package
          • Submodules
          • vollib.ref_python.black_scholes_merton.greeks.analytical module
            • vollib.ref_python.black_scholes_merton.greeks.analytical
              • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
            • delta()
            • gamma()
            • rho()
            • theta()
            • vega()
          • vollib.ref_python.black_scholes_merton.greeks.numerical module
            • vollib.ref_python.black_scholes_merton.greeks.numerical
              • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
            • delta()
            • f()
            • gamma()
            • rho()
            • test_analytical_vs_numerical()
            • theta()
            • vega()
          • Module contents
      • Submodules
      • vollib.ref_python.black_scholes_merton.implied_volatility module
        • vollib.ref_python.black_scholes_merton.implied_volatility
          • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
        • implied_volatility()
      • Module contents
        • vollib.ref_python.black_scholes_merton
          • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.
        • black_scholes_merton()
        • bsm_call()
        • bsm_put()
        • d1()
        • d2()
  • Module contents
    • vollib.ref_python
      • vollib.ref_python is a pure python version of vollib without any dependence on LetsBeRational. It is provided purely as a reference implementation for sanity checking. It is not recommended for industrial use.

Module contents

vollib

A library for option pricing, implied volatility, and greek calculation. vollib is based on lets_be_rational, a Python wrapper for LetsBeRational by Peter Jaeckel as described below.

copyright:

© 2017 Gammon Capital LLC

license:

MIT, see LICENSE for more details.

About LetsBeRational:

The source code of LetsBeRational 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.
========================================================================================