hashABCD / opstrat

Option visualization python package

Geek Repo:Geek Repo

Github PK Tool:Github PK Tool

Request for dividend paying equity adjustments

MorningCoffeeZombie opened this issue · comments

The BSM formula offered in this pip is the standard BSM model. Could you please add support for equities that pay regular dividends where the input 'q' represents the yield?

Example:

import opstrat as op

K = 425			# Strike
r = 1.978		# Risk free rate
t = 35			# Time to expiry (in days)
sigma = 28.84		# Annualized volatility
St = 425.48		# Underlying price
type = 'p'		# Option type (c or p)

bsm=op.black_scholes(K=K, St=St, r=r, t=t, v=sigma, type=type)

q = 3.2			# Dividend
bsm_div=op.black_scholes(K=K, St=St, r=r, t=t, v=sigma, type=type, q=q)