Option Pricing Module



In [1]:

    
import OptionPricing as op



In [2]:

    
#help(op)



In [3]:

    
c = op.BSCall(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
p = op.BSPut(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
dc = op.BSDCall(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
dp = op.BSDPut(mat=1, strike=100, spot=100, sig=0.2, rate=0.05, yld=0.)
o = p
spot = range(60,140)

Present Value



In [4]:

    
plot(spot, list((o.PV(spot=s),o.PV(spot=s, sig=0.05)) for s in spot))









    Out[4]:





[<matplotlib.lines.Line2D at 0x7f921e20dcc0>,
 <matplotlib.lines.Line2D at 0x7f921e214080>]

Delta and Cash Delta



In [5]:

    
plot(spot, list((o.Delta(spot=s),o.Delta(spot=s, sig=0.1)) for s in spot))









    Out[5]:





[<matplotlib.lines.Line2D at 0x7f921e078518>,
 <matplotlib.lines.Line2D at 0x7f921e078898>]



In [6]:

    
plot(spot, list((100.*o.Delta(spot=s),o.DeltaCash(spot=s)) for s in spot))









    Out[6]:





[<matplotlib.lines.Line2D at 0x7f921e05ba58>,
 <matplotlib.lines.Line2D at 0x7f921e05bdd8>]

Gamma and Cash Gamma



In [7]:

    
plot(spot, list((o.Gamma(spot=s),o.Gamma(spot=s, sig=0.1)) for s in spot))









    Out[7]:





[<matplotlib.lines.Line2D at 0x7f921dfbc6a0>,
 <matplotlib.lines.Line2D at 0x7f921dfbca20>]



In [8]:

    
plot(spot, list((10000*o.Gamma(spot=s),o.GammaCash(spot=s)) for s in spot))









    Out[8]:





[<matplotlib.lines.Line2D at 0x7f921dfa4860>,
 <matplotlib.lines.Line2D at 0x7f921dfa4be0>]

Theta (and Gamma)



In [9]:

    
plot(spot, list((o.Theta(spot=s),o.Gamma(spot=s)) for s in spot))









    Out[9]:





[<matplotlib.lines.Line2D at 0x7f921df034e0>,
 <matplotlib.lines.Line2D at 0x7f921df03860>]

Vega, Volga, Vanna



In [10]:

    
plot(spot, list((o.Vega(spot=s),o.Gamma(spot=s, sig=0.1)) for s in spot))









    Out[10]:





[<matplotlib.lines.Line2D at 0x7f921dee7978>,
 <matplotlib.lines.Line2D at 0x7f921dee7cf8>]



In [11]:

    
plot(spot, list((o.Vanna(spot=s),o.Vanna(spot=s, sig=0.1)) for s in spot))









    Out[11]:





[<matplotlib.lines.Line2D at 0x7f921de4f6d8>,
 <matplotlib.lines.Line2D at 0x7f921de4fa58>]



In [12]:

    
plot(spot, list((o.Volga(spot=s),o.Volga(spot=s, sig=0.1)) for s in spot))









    Out[12]:





[<matplotlib.lines.Line2D at 0x7f921ddb09b0>,
 <matplotlib.lines.Line2D at 0x7f921ddb0d30>]

Rho and RhoYld



In [13]:

    
plot(spot, list((o.Rho(spot=s),o.RhoYld(spot=s)) for s in spot))









    Out[13]:





[<matplotlib.lines.Line2D at 0x7f921dd93ef0>,
 <matplotlib.lines.Line2D at 0x7f921dd982b0>]