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Introduction

This project is providing a set of simple Black-Scholes pricing modules and a mechanism for use within OpenOffice (and LibreOffice). Developers and users can use it to price analytically Call/Put options on equities and FX along with the most popular greeks and the ability to calculate implied volatility from the price. The PDESolver module will allow the pricing of arbitrary payoffs (not path-dependents though) based on the Backward Euler method.

Dependencies

• SciPy
• NumPy
• PyUNO

Modules

Unit Tests

OpenOffice

Note

The introduction of LibreOffice broke both the build and the import. I am working on fixing them.

Installation

Under the Files section (and also in SVN) you can find a file BlackScholes00.oxt, importing that file into OpenOffice will create a number of OpenOffice functions starting with =BlackScholes (i.e. BlackScholesCallPrice, BlackScholesPutPrice, BlackScholesCallDelta). These can be called with the appropriate parameters similar to the standard OpenOffice functions.

Examples

You can find a sample portfolio in the Files section

What's next?

• I am working on fixing the issues with LibreOffice