Python Finance Documentation

Introduction

A suite of options solving functions.

BlackScholesSolver

Analytical Pricer for vanilla stock options
Member Functions:
forwardPrice
callPrice
putPrice
callDelta
putDelta
callTheta
putTheta
callRho
putRho
gamma
vega
callImpliedVolatility
putImpliedVolatility

GarmanKohlagenSolver

Analytical Pricer for vanilla FX Options
Member Functions
forwardPrice
callPrice
putPrice
callDelta
putDelta
callGamma
putGamma
callVega
putVega
callTheta
putTheta
callDomesticRho
putDomesticRho
callForeignRho
putForeignRho
callImpliedVolatility
putImpliedVolatility

PDESolver

Generic solver for all non-path-dependent payoffs
Member Functions
price
delta
gamma