A Black-Scholes calculator for Python that includes up to the third-order Greeks.
Supports the Black-Scholes-Merton model, Black-76 model and option structures.
pip install blackscholes
S = 55.0 # Asset price of 55
K = 50.0 # Strike price of 50
T = 1.0 # 1 Year to maturity
r = 0.0025 # 0.25% Risk-free rate
sigma = 0.15 # 15% Volatility
q = 0.0 # 0% Annual Dividend Yieldfrom blackscholes import BlackScholesCall
call = BlackScholesCall(S=S, K=K, T=T, r=r, sigma=sigma, q=q)
call.price() ## 6.339408
call.delta() ## 0.766407
call.spot_delta() ## 0.7683
call.charm() ## 0.083267from blackscholes import BlackScholesPut
put = BlackScholesPut(S=S, K=K, T=T, r=r, sigma=sigma, q=q)
put.price() ## 1.214564
put.delta() ## -0.23359
put.spot_delta() ## -0.23417
put.charm() ## 0.083267The Black-76 model is often used specifically for options and futures and bonds.
blackscholes also supports this model. To see all available greeks
check out section 4. The Greeks (Black-76).
Call Example
from blackscholes import Black76Call
call = Black76Call(F=55, K=50, T=1, r=0.0025, sigma=0.15)
call.price() ## 6.2345
call.delta() ## 0.7594
call.vomma() ## 45.1347Put Example
from blackscholes import Black76Put
put = Black76Put(F=55, K=50, T=1, r=0.0025, sigma=0.15)
put.price() ## 1.2470
put.delta() ## -0.2381
put.vomma() ## 45.1347blackscholes offers the following six option structures:
- Straddle
- Strangle
- Butterfly
- Iron Condor
- Spreads
- Iron Butterfly
All structures have a long and short version. To learn more check out section 6. Option Structures.
Long Straddle Example
from blackscholes import BlackScholesStraddleLong
straddle = BlackScholesStraddleLong(S=55, K=50, T=1.0,
r=0.0025, sigma=0.15)
straddle.price() ## 7.5539
straddle.delta() ## 0.5328Binary options are also called exotic, digital or bet options. blackscholes supports Greeks for binary calls and puts.
We very much welcome new contributions! Check out the Github Issues to see what is currently being worked on.
Also check out Contributing in the documentation to learn more about contributing to blackscholes.
