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About the developer

vollib
140 Stars 37 Forks MIT License 21 Commits 0 Opened issues

Description

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.

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vollib

vollib
is 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,

vollib
provides functions to calculate option prices, implied volatility and greeks using Black, Black-Scholes, and Black-Scholes-Merton.
vollib
implements both analytical and numerical greeks for each of the three pricing formulae.

About the initial release

This is the initial release of

vollib
. Tests and documentation are still incomplete.

Dependencies

vollib
was written in Python 2.7. It depends on the
lets_be_rational
package, a simple (SWIG) wrapper around Peter Jäckel's original C source code.

To install via pip, type the following:

>>> pip install vollib

Installing

vollib
via 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

vollib
.

lets_be_rational
is 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_rational
separately with pip, since this takes care of the C compilation.

About "Let's be Rational":

"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.

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