Models
Classes
Class for Binomial Option Pricing.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
inputs
|
OptionInputs
|
Object containing the following option parameters: - spot : float Current price of the underlying asset - strike : float Strike price of the option - rate : float Risk-free interest rate (as a decimal) - ttm : float Time to maturity in years - volatility : float Implied volatility of the underlying asset (as a decimal) - callprice : float, optional Market price of call option (used for implied volatility calculation) - putprice : float, optional Market price of put option (used for implied volatility calculation) |
required |
nsteps
|
int
|
Number of steps |
Field(..., gt=0, description='Number of steps')
|
option_type
|
OptionType
|
Option type, either 'call' or 'put' |
Field(..., description='Call or Put')
|
exercise_style
|
ExerciseStyle
|
Exercise style, either 'american' or 'european' |
Field(..., description='American or European')
|
output
|
str
|
Output type ('price', 'payoff', 'value', 'delta'), by default 'payoff' |
'payoff'
|
Attributes:
| Name | Type | Description |
|---|---|---|
binomialoption |
ndarray
|
The calculated option prices (depends on the selected output type) |
Methods:
| Name | Description |
|---|---|
plot_tree |
Plots the binomial tree based on the selected output type |
A class implementing the Black-Scholes option pricing model.
This class calculates option prices and Greeks (sensitivity measures) using the Black-Scholes formula for European-style options.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
inputs
|
OptionInputs
|
Object containing the following option parameters: - spot : float Current price of the underlying asset - strike : float Strike price of the option - rate : float Risk-free interest rate (as a decimal) - ttm : float Time to maturity in years - volatility : float Implied volatility of the underlying asset (as a decimal) - callprice : float, optional Market price of call option (used for implied volatility calculation) - putprice : float, optional Market price of put option (used for implied volatility calculation) |
required |
Attributes:
| Name | Type | Description |
|---|---|---|
call_price |
float
|
Price of the call option |
put_price |
float
|
Price of the put option |
call_delta |
float
|
Delta of the call option (sensitivity to underlying price) |
put_delta |
float
|
Delta of the put option (sensitivity to underlying price) |
gamma |
float
|
Gamma of the option (second derivative with respect to underlying price) |
vega |
float
|
Vega of the option (sensitivity to volatility changes) |
call_theta |
float
|
Theta of the call option (sensitivity to time decay) |
put_theta |
float
|
Theta of the put option (sensitivity to time decay) |
call_rho |
float
|
Rho of the call option (sensitivity to interest rate changes) |
put_rho |
float
|
Rho of the put option (sensitivity to interest rate changes) |
impvol |
float
|
Implied volatility calculated from market price (if provided) |
Notes
All Greeks are calculated using the analytical formulas from the Black-Scholes model. Theta is expressed in price change per day, and vega and rho are expressed per 1% change in their respective parameters.
Monte Carlo Pricing for options.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
inputs
|
OptionInputs
|
The inputs for the option pricing model. |
required |
nsims
|
int
|
Number of simulations (default is Field(..., gt=0)). |
Field(..., gt=0, description='Number of simulations')
|
timestep
|
int
|
Time step (default is Field(..., gt=0)). |
Field(..., gt=0, description='Time step')
|
option_type
|
OptionType
|
Type of option (Call or Put). |
Field(..., description='Call or Put')
|
exercise_style
|
ExerciseStyle
|
Style of exercise (American, European, or Barrier). |
Field(..., description='American or European or Barrier')
|
barrier_level
|
float
|
Barrier level for barrier options (default is None). |
Field(None, gt=0, description='Barrier level (for barrier options)')
|
barrier_rebate
|
int
|
Barrier rebate for barrier options (default is None). |
Field(None, gt=0, description='Barrier rebate (for barrier options)')
|
barrier_type
|
BarrierType
|
Type of barrier option (default is None). |
Field(None, description='Type of barrier option')
|
Attributes:
| Name | Type | Description |
|---|---|---|
option_price |
float
|
The calculated option price. |
Raises:
| Type | Description |
|---|---|
ValueError
|
If an unsupported exercise style or barrier type is provided. |
Bases: BaseModel
Option inputs parameters
Returns:
| Type | Description |
|---|---|
OptionInputs
|
Option inputs parameters |
Raises:
| Type | Description |
|---|---|
ValueError
|
If any of the input parameters are invalid |