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A real-time financial derivatives calculator supporting 171+ models from QuantLib, Financial Numerical Recipes in C++ and MetaOptions. Matrices of prices are created with iterating strikes and/or months. A strike control system can produce any strike. A generalized date engine can calculate re-occuring distances to any industry used expiration into the future. Spread engine with spread views.
Models Supported: Black-Scholes, Merton-73, Black-76, Roll Geske Whaley, Garman KohlHagen, Jump Diffusion, Quanto, Vasicek Bond Option, Turnbull Wakeman Asian, TimeSwitchOption, Look Barrier, Bachelier, PartialTimeBarrier, GapOption, Extreme Spread Option, Simple Chooser, ComplexChooser, PartialFixedLB, Executive, CashOrNothing, Extendible Writer, OptionsOnOptions, BAWAmericanApprox, BSAmericanApprox, AssetOrNothing, Bisection, BAWbisection, BSbisection, Gfrench, Gcarry, Swapoption, Complex Chooser, Super Share, EquityLinkedFXO, Spread Approximation, BinaryBarrier and more
Features
- Black-Scholes
- Real-time multi-model option chain pricing
- Real-time time bleeding
- Configurable option expiration date engines
- Configurable strike control system
- Option analytics (Greeks)
- Spread calculations
Project Samples
License
GNU General Public License version 3.0 (GPLv3)Follow OptionMatrix
User Reviews
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This a great project with vast variety of financial models. I have used some of these models to study option pricing . It has many example to easily understand and validate the financial recipes. Anthony maintains the project and responds to any query or suggestions promptly.
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This is a cool software for valuing options. A lot of value here for free. This levels the playing field a bit for retail traders. There are vendors out there that charge a lot for similar kind of options valuing tools. Highly recommend using this.
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OptionMatrix has extremely useful models for financial computation. I use it to help me trading decisions and strategies. Its easy to learn and use. Anthony is actively maintaining it and responds to suggestions, feature ideas and bug fixes. Its a no nonsense financial calculator, and its FOSS.
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This is phenomenal!