1. Option payoff, premium and greeks calculation for vanilla options on Equity, FX, Commodity and Futures.
2. Capability to calculate greeks numerically for all models and also analytically for Black Scholes Model.
3. Price vanilla options with European expiry using BSM, Binomial tree and MonteCarlo with option to
incorporate continuous compounded dividend yield for Equity options,
cost and convenience yield for Commodity options and
local and foreign risk-free rate in case of FX options.
It also allows option to give discrete dividends in cased of Equity options.
4. Price vanilla options with American expiry using Binomial tree and MonteCarlo(Longstaff Schwartz) method.
There is option to provide discrete dividends for Equity options for both the models.
5. Implied volatility calculation under BSM framework model.
6. Option to create user defined or standard strategies using multiple single underlying options and
directly generate and plot valuation and greeks for these strategies.
License
[MIT LICENCE](https://github.com/quantsbin/Quantsbin/blob/master/LICENSE/)
Dependencies and Installation details
scipy==1.0
pandas==0.23.0
matplotlib==2.2.2
numpy==1.14.3
Install using setup.py:
>>> python setup.py install
Install using pip:
>>> pip install quantsbin
Detailed documentation
Refer to our [Documentation](http://www.quantsbin.com/documentation/) page
Our Website
For collaboration and suggestion reach us at [Quantsbin](http://www.quantsbin.com/)
Tutorial
Refer to our [Tutorial](https://quantsbin.wordpress.com/2018/07/05/introduction-to-options-and-option-pricing-using-python-open-source-library-quantsbin/) page
Note
For Quantsbin 1.0.a testing and documentation are still WIP.