examples/Black Scholes and Option Greeks.ipynb

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  {
   "cell_type": "markdown",
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   "source": [
    "### Import Libraries"
   ]
  },
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      "C:\\Users\\ABCD\\AppData\\Local\\Continuum\\anaconda3\\lib\\site-packages\\statsmodels\\tools\\_testing.py:19: FutureWarning: pandas.util.testing is deprecated. Use the functions in the public API at pandas.testing instead.\n",
      "  import pandas.util.testing as tm\n"
     ]
    }
   ],
   "source": [
    "import opstrat as op"
   ]
  },
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   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Declare parameters"
   ]
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   "source": [
    "K=200    #spot price\n",
    "St=208   #current stock price\n",
    "r=4      #4% risk free rate\n",
    "t=30     #time to expiry, 30 days \n",
    "v=20     #volatility \n",
    "type='c' #Option type call\n",
    "\n",
    "bsm=op.black_scholes(K=K, St=St, r=r, t=t, \n",
    "                     v=v, type='c')"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Option values"
   ]
  },
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   "cell_type": "code",
   "execution_count": 3,
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     "end_time": "2021-06-30T10:35:26.025687Z",
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   "outputs": [
    {
     "data": {
      "text/plain": [
       "{'option value': 10.210518559926442,\n",
       " 'intrinsic value': 8,\n",
       " 'time value': 2.2105185599264416}"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "bsm['value']"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Option Greeks"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "ExecuteTime": {
     "end_time": "2021-06-30T10:35:33.797340Z",
     "start_time": "2021-06-30T10:35:33.786344Z"
    }
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "{'delta': 0.7793593241701937,\n",
       " 'gamma': 0.024868265088898882,\n",
       " 'theta': -0.07559961986526405,\n",
       " 'vega': 0.17686037602292404,\n",
       " 'rho': 0.12484620893217029}"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "bsm['greeks']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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