option-prices 0.1.0__py3-none-any.whl → 0.1.1__py3-none-any.whl

option_prices/__init__.py

@@ -0,0 +1,2 @@
+from .bsm import bsm
+from .binomial import binomial

option_prices/binomial.py

@@ -0,0 +1,64 @@
+import numpy as np
+import scipy as sc
+
+
+def __moves__(sigma,time_step):
+    u=np.exp(sigma*np.sqrt(time_step))
+    d=np.exp(np.negative(sigma)*np.sqrt(time_step))
+    return [u,d]
+
+
+
+
+def binomial(S:int,K:int,r:int,T:int,time_step:int,u:int=None,d:int=None,sigma:int=None,time_scale:str="year",option_type:str="call"):
+    r = r/100
+    if time_scale=="month":
+        T_years=T/12
+        time_step=time_step/12
+    elif time_scale == "day":
+        T_years = T / 365
+        time_step = time_step / 365
+    if u!=None and d!=None:
+        pass
+    elif sigma!=None:
+        move=__moves__(sigma,time_step)
+        u=move[0]
+        d=move[1]
+    n_steps = int(T/time_step)
+        
+
+    #price tree    
+    prob = (np.exp(r*time_step)-d)/(u-d)
+    nodes = np.zeros([n_steps+1,n_steps+1])
+    nodes[0][0]=S
+    for i in range(1,n_steps+1):
+        nodes[i][0]=nodes[i-1][0]*u
+        nodes[i, 1:i+1] = nodes[i-1, 0:i] * d
+
+
+   
+    #terminal node calculation
+    for i in range(n_steps+1):
+        if option_type=="call":    
+            nodes[-1,i]=max(nodes[-1,i]-K,0)
+        elif option_type=="put":        
+            nodes[-1,i]=max(K-nodes[-1,i],0)
+
+    
+
+    #reverse calculation
+    copy=np.copy(nodes)
+    for i in reversed(range(1,n_steps+1)): 
+        for j in range(i):
+                    nodes[i-1][j]=np.exp(-r * time_step) * (prob * nodes[i, j] + (1 - prob) * nodes[i, j+1])
+
+
+    return round(nodes[0,0],2)
+
+
+
+
+
+
+
+

{option_pricings → option_prices}/bsm.py

@@ -6,9 +6,11 @@ N= norm.cdf
 #d₁ = [ln(S₀/K) + (r + σ²/2)t] / (σ√t)
 #d₂ = d₁ - σ√t
 
-def bsm(S,K,T,r,sigma,option_type="call",time_scale="Year"):
-    if time_scale == "Month":
+def bsm(S,K,T,r,sigma,option_type="call",time_scale="year"):
+    if time_scale == "month":
         T = T/12
+    elif time_scale != "month" or time_scale != "year":
+        "plz enter month or year as you time scale"
     r = r/100
     sigma = sigma/100
     denominator = (sigma*np.sqrt(T))

{option_prices-0.1.0.dist-info → option_prices-0.1.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
-Name: option_prices
-Version: 0.1.0
+Name: option-prices
+Version: 0.1.1
 Summary: Option pricing using the Black Scholes Model
 Author-email: Shreenivas Dani <shreenivasdani@gmail.com>
 License: MIT
@@ -11,13 +11,13 @@ Requires-Dist: numpy
 Requires-Dist: scipy
 Dynamic: license-file
 
-# BSM
+# Option-prices
 
-This package is to be used for option price calculation using the Black Scholes Model
+This package is to be used for option price calculation using the Black Scholes Model and binomial model
 
 ## Description
 
-This package provides a simple and easy-to-use implementation of the Black Scholes Model for calculating European call and put option prices. It is designed for students, traders, and developers who want a lightweight and reliable tool for option pricing without the complexity of larger libraries.
+This package provides a simple and easy-to-use implementation of the Black Scholes Model and binomial model for calculating European call and put option prices. It is designed for students, traders, and developers who want a lightweight and reliable tool for option pricing without the complexity of larger libraries.
 
 ## Getting Started
 
@@ -27,15 +27,33 @@ Numpy,Scipy
 
 ### Installing
 
-pip install bsm
+pip install option-prices
 
 ### Executing program
 
-from bsm import bsm
+import option_pricings
+from option_pricings import bsm
+from option_pricings import binomial
 
 ## example when time scale is in year
 price=bsm(S=50,K=50,T=1,r=6,sigma=25,option_type = "call",time_scale="Year")
 print(price)
+
+price = binomial(S=30,K=40,r=6,T=2,time_step = 1,u=1.2,d=0.8)
+print(price)
+
+# using sigma parameter instead of u and d
+price = binomial(S=30,K=40,r=6,T=2,time_step = 1,sigma = 25)
+print(price)
+
+# put option
+price = binomial(S=30,K=40,r=6,T=2,time_step = 1,u=1.2,d=0.8,option_type="put")
+print(price)
+
+# changing time scale to month
+price = binomial(S=30,K=40,r=6,T=24,time_step = 12,u=1.2,d=0.8,time_scale = "month")
+print(price)
+
 ## example when time scale is in month
 price = bsm(S=50,K=50,T=6,r=6,sigma=25,option_type = "call",time_scale="Month")
 print(price)
@@ -43,6 +61,7 @@ print(price)
 Note:
 When time_scale="Year", enter T in years.
 When time_scale="Month", enter T in months.
+same thing applies for binomial
 ## Authors
 
 Shreenivas Dani

option_prices-0.1.1.dist-info/RECORD

@@ -0,0 +1,8 @@
+option_prices/__init__.py,sha256=w6qucgi5Z3s8ApEKrqj8m91n_mjzk_g33OwYzYSBH7Q,52
+option_prices/binomial.py,sha256=pGJK4KKPC1VsJUV1h38CkGMBJYV-qTG8wa-OIHbxS9Y,1435
+option_prices/bsm.py,sha256=_2z8WNm-df_gBeBSbEJqnrIarQsoWSLwQvDwuiIqG5I,962
+option_prices-0.1.1.dist-info/licenses/LICENSE,sha256=S_fbX1OLfL7GYfxafKhn4E6-9cDMpbxy3-OgQisZr5A,1087
+option_prices-0.1.1.dist-info/METADATA,sha256=W7XE8n3PsTMUd_zBrp0N4nzfOqXrmYbl-I_t2F1CTYc,2093
+option_prices-0.1.1.dist-info/WHEEL,sha256=wUyA8OaulRlbfwMtmQsvNngGrxQHAvkKcvRmdizlJi0,92
+option_prices-0.1.1.dist-info/top_level.txt,sha256=CLxae_Bn0E67xofN4II5QBo1FnoTGrq7pU0Qeh4rH4g,14
+option_prices-0.1.1.dist-info/RECORD,,

{option_prices-0.1.0.dist-info → option_prices-0.1.1.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (80.10.1)
+Generator: setuptools (80.10.2)
 Root-Is-Purelib: true
 Tag: py3-none-any
 

option_prices-0.1.1.dist-info/top_level.txt

@@ -0,0 +1 @@
+option_prices

option_prices-0.1.0.dist-info/RECORD

@@ -1,7 +0,0 @@
-option_prices-0.1.0.dist-info/licenses/LICENSE,sha256=S_fbX1OLfL7GYfxafKhn4E6-9cDMpbxy3-OgQisZr5A,1087
-option_pricings/__init__.py,sha256=BxB2eTmLv0SnZmRQvBPxsAMjxGi9IzUybs13ydxrBKA,20
-option_pricings/bsm.py,sha256=XpJwqKC1K8KKNaDZmwiIyNUaCyGsqwQWdew3elvw-2Y,852
-option_prices-0.1.0.dist-info/METADATA,sha256=J78QP_UejtnQLRYNzIwqOSV-uMkq09AXPee8ZzYRC3U,1480
-option_prices-0.1.0.dist-info/WHEEL,sha256=qELbo2s1Yzl39ZmrAibXA2jjPLUYfnVhUNTlyF1rq0Y,92
-option_prices-0.1.0.dist-info/top_level.txt,sha256=l0EOs-Inr3wtGhBYn7jleXhMdO3ieLmttoU5twwomAE,16
-option_prices-0.1.0.dist-info/RECORD,,

option_prices-0.1.0.dist-info/top_level.txt

@@ -1 +0,0 @@
-option_pricings

option_pricings/__init__.py

@@ -1 +0,0 @@
-from .bsm import bsm