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Python Finance
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BlackScholes.py
Implementation of the Analytical Solution to the BlackScholes (equities) equation it includes:
- callPrice
- putPrice
- forwardPrice
- callDelta
- putDelta
- callGamma
- putGamma
- callTheta
- putTheta
- callRho
- putRho
- callVega
- putVega
- callImpliedVol
- putImpliedVol
GarmanKohlagen.py
Implementation of the Analytical Solution to the BlackScholes (equities) equation it includes:
- callPrice
- putPrice
- forwardPrice
- callDelta
- putDelta
- callGamma
- putGamma
- callTheta
- putTheta
- callDomesticRho
- putDomesticRho
- callForeignRho
- putForeignRho
- callVega
- putVega
- callImpliedVol
- putImpliedVol
PDESolver.py
Implementation of a Backward Euler algorithm for solving arbitrary payoffs (passed to the class as an array of equispaced log payoff and an array of equispaced log spot). At this point the Greeks available are rather limited:
- price
- delta
- gamma
OpenOffice
Disclamer
The OpenOffice extension and the build process for it are no longer working with the introduction of LibreOffice. I am working on restoring them.
BlackScholesOO.oxt
Using the OpenOffice Extension Manager - load the oxt file. Looking through the functions list you should be able to find a lot of new BlackScholes functions (like BlackScholesCallPrices, BlackScholesPutPrice).
How to make
A Makefile is provided, just call $make
