MibianLib - Options Pricing Open Source Library - http://code.mibian.net/ Copyright (C) 2011 Yassine Maaroufi - <yassinemaaroufi@mibian.net> Distributed under GPLv3 - http://www.gnu.org/copyleft/gpl.html Documentation ------------- BS - Black-Scholes Used for pricing European options on stocks without dividends BS([underlyingPrice, strikePrice, interestRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z) eg: c = mibian.BS([1.4565, 1.45, 1, 30], volatility=20) c.callPrice Returns the call price c.putPrice Returns the put price c.callDelta Returns the call delta c.putDelta Returns the put delta c.callDelta2 Returns the call dual delta c.putDelta2 Returns the put dual delta c.callTheta Returns the call theta c.putTheta Returns the put theta c.callRho Returns the call rho c.putRho Returns the put rho c.vega Returns the option vega c.gamma Returns the option gamma c = mibian.BS([1.4565, 1.45, 1, 30], callPrice=0.0359) c.impliedVolatility Returns the implied volatility from the call price c = mibian.BS([1.4565, 1.45, 1, 30], putPrice=0.0306) c.impliedVolatility Returns the implied volatility from the put price c = mibian.BS([1.4565, 1.45, 1, 30], callPrice=0.0359, putPrice=0.0306) c.putCallParity Returns the put-call parity GK - Garman-Kohlhagen Used for pricing European options on currencies GK([underlyingPrice, strikePrice, domesticRate, foreignRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z) eg: c = mibian.GK([1.4565, 1.45, 1, 2, 30], volatility=20) c.callPrice Returns the call price c.putPrice Returns the put price c.callDelta Returns the call delta c.putDelta Returns the put delta c.callDelta2 Returns the call dual delta c.putDelta2 Returns the put dual delta c.callTheta Returns the call theta c.putTheta Returns the put theta c.callRhoD Returns the call domestic rho c.putRhoD Returns the put domestic rho c.callRhoF Returns the call foreign rho c.putRhoF Returns the call foreign rho c.vega Returns the option vega c.gamma Returns the option gamma c = mibian.GK([1.4565, 1.45, 1, 2, 30], callPrice=0.0359) c.impliedVolatility Returns the implied volatility from the call price c = mibian.GK([1.4565, 1.45, 1, 2, 30], putPrice=0.03) c.impliedVolatility Returns the implied volatility from the put price c = mibian.GK([1.4565, 1.45, 1, 2, 30], callPrice=0.0359, putPrice=0.03) c.putCallParity Returns the put-call parity Me - Merton Used for pricing European options on stocks with dividends Me([underlyingPrice, strikePrice, interestRate, annualDividends, daysToExpiration], volatility=x, callPrice=y, putPrice=z) eg: c = mibian.Me([52, 50, 1, 1, 30], volatility=20) c.callPrice Returns the call price c.putPrice Returns the put price c.callDelta Returns the call delta c.putDelta Returns the put delta c.callDelta2 Returns the call dual delta c.putDelta2 Returns the put dual delta c.callTheta Returns the call theta c.putTheta Returns the put theta c.callRho Returns the call rho c.putRho Returns the put rho c.vega Returns the option vega c.gamma Returns the option gamma c = mibian.Me([52, 50, 1, 1, 30], callPrice=0.0359) c.impliedVolatility Returns the implied volatility from the call price c = mibian.Me([52, 50, 1, 1, 30], putPrice=0.0306) c.impliedVolatility Returns the implied volatility from the put price c = mibian.Me([52, 50, 1, 1, 30], callPrice=0.0359, putPrice=0.0306) c.putCallParity Returns the put-call parity Contributions: -------------- Contributions to MibianLib are welcome. Please send suggestions, critics, patches to yassinemaaroufi@mibian.net. Otherwise you can create a fork on github at https://github.com/yassinemaaroufi/MibianLib. Contributors List: ------------------ Yassine Maaroufi <yassinemaaroufi@mibian.net> Jack Grahl <jack.grahl@yahoo.co.uk> Dmitry Vatolin <vatolin@gmail.com> https://github.com/smickles