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

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.

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.