Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Scholes-Merton.
vollibis 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,
vollibprovides functions to calculate option prices, implied volatility and greeks using Black, Black-Scholes, and Black-Scholes-Merton.
vollibimplements both analytical and numerical greeks for each of the three pricing formulae.
This is the initial release of
vollib. Tests and documentation are still incomplete.
vollibwas written in Python 2.7. It depends on the
lets_be_rationalpackage, a simple (SWIG) wrapper around Peter Jäckel's original C source code.
To install via pip, type the following:
>>> pip install vollib
vollibvia pip will automatically install the necessary dependencies, except for SWIG, pip, and Python. This has been tested to work on Windows, Linux and Macintosh OS X.
Python, pip and SWIG must be installed prior to installing
lets_be_rationalis quite stable compared to
vollib, which is likely to be updated frequently.
For those who wish to clone the vollib repo, you might prefer to install
lets_be_rationalseparately with pip, since this takes care of the C compilation.
"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.