vollib/vollib
Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Scholes-Merton.
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Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Scholes-Merton.
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Demo code for direct Black-Scholes implied-volatility calculation from normalized call prices via the inverse-Gaussian quantile representation.
Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
An libary to price financial options written in Python. Includes: Black Scholes, Black 76, Implied Volatility, American, European, Asian, Spread Options
Quantitative Finance tools