Demo code for direct Black-Scholes implied-volatility calculation from normalized call prices via the inverse-Gaussian quantile representation.
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A complete set of volatility estimators based on Euan Sinclair's Volatility Trading
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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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.
A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
