Vanilla Black and Scholes Formulas

This repository implements in python the vanilla black and scholes formula for calls and puts as well as some of the greeks.

A basic introduction can be found at wikipedia: black scholes

Structure

The main executable is main.py. It should output a heatmap of deltas and gammas obtained from data/plan_base.xlsx. It also saves both heatmaps as png images in the data folder.

.
├── black_scholes.py
├── data
│   ├── plan_base.xlsx
│   ├── plan_resultados.xlsm
├── LICENSE
├── main.py
├── Makefile
├── README.md
├── test.py
└── utils
    ├── data_handling.py
    ├── dates.py
    ├── __init__.py
    ├── option.py
    └── tables.py

4 directories, 14 files

If you are in Linux you can type

$ make

to generate these heatmaps.

ALL DATA CONTAINED IN THE XLSX FILE IS FAKE

Tests on Linux

Type in terminal

$ make test

Test parameters were copied from Zsolt-Forray/options-calculator

TODOs

• American options
• Implied Volatility