quantflow-finance 0.1.0__py3-none-any.whl

quantflow/__init__.py

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+"""
+QuantFlow: Essential quantitative finance tools for modern portfolio management.
+
+A comprehensive Python package for options pricing, risk analytics, and market data processing.
+"""
+
+__version__ = "0.1.0"
+__author__ = "JEEVAN B A"
+__email__ = "jeevanba273@gmail.com"
+
+# Import main classes for easy access
+from .options.black_scholes import BlackScholes
+from .risk.metrics import RiskMetrics
+from .data.fetcher import MarketData
+
+__all__ = ['BlackScholes', 'RiskMetrics', 'MarketData']

quantflow/options/__init__.py

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+"""
+Options pricing and Greeks calculation module.
+
+This module provides implementations of various option pricing models including
+the Black-Scholes-Merton model for European options.
+"""
+
+from .black_scholes import BlackScholes
+
+__all__ = ['BlackScholes']

quantflow/options/black_scholes.py

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+"""
+Black-Scholes option pricing model implementation.
+"""
+
+import numpy as np
+from scipy.stats import norm
+
+
+class BlackScholes:
+    """
+    Black-Scholes option pricing model.
+    
+    Parameters:
+    S: Current stock price
+    K: Strike price  
+    T: Time to expiration in years
+    r: Risk-free interest rate
+    sigma: Volatility
+    option_type: 'call' or 'put'
+    """
+    
+    def __init__(self, S, K, T, r, sigma, option_type='call'):
+        self.S = float(S)
+        self.K = float(K)
+        self.T = float(T)
+        self.r = float(r)
+        self.sigma = float(sigma)
+        self.option_type = option_type.lower()
+    
+    def price(self):
+        """Calculate option price using Black-Scholes formula."""
+        # Calculate d1 and d2 parameters
+        d1 = (np.log(self.S / self.K) + (self.r + 0.5 * self.sigma**2) * self.T) / (self.sigma * np.sqrt(self.T))
+        d2 = d1 - self.sigma * np.sqrt(self.T)
+        
+        if self.option_type == 'call':
+            # Call option formula: S*N(d1) - K*e^(-rT)*N(d2)
+            return self.S * norm.cdf(d1) - self.K * np.exp(-self.r * self.T) * norm.cdf(d2)
+        else:
+            # Put option formula: K*e^(-rT)*N(-d2) - S*N(-d1)
+            return self.K * np.exp(-self.r * self.T) * norm.cdf(-d2) - self.S * norm.cdf(-d1)
+        
+    def delta(self):
+        """Calculate option delta (price sensitivity to stock price)."""
+        d1 = (np.log(self.S / self.K) + (self.r + 0.5 * self.sigma**2) * self.T) / (self.sigma * np.sqrt(self.T))
+        
+        if self.option_type == 'call':
+            return norm.cdf(d1)
+        else:
+            return norm.cdf(d1) - 1
+    
+    def gamma(self):
+        """Calculate option gamma (rate of change of delta)."""
+        d1 = (np.log(self.S / self.K) + (self.r + 0.5 * self.sigma**2) * self.T) / (self.sigma * np.sqrt(self.T))
+        
+        # Gamma is the same for both calls and puts
+        return norm.pdf(d1) / (self.S * self.sigma * np.sqrt(self.T))
+    
+    def theta(self):
+        """Calculate option theta (time decay per year)."""
+        d1 = (np.log(self.S / self.K) + (self.r + 0.5 * self.sigma**2) * self.T) / (self.sigma * np.sqrt(self.T))
+        d2 = d1 - self.sigma * np.sqrt(self.T)
+        
+        first_term = -(self.S * norm.pdf(d1) * self.sigma) / (2 * np.sqrt(self.T))
+        
+        if self.option_type == 'call':
+            second_term = -self.r * self.K * np.exp(-self.r * self.T) * norm.cdf(d2)
+        else:
+            second_term = self.r * self.K * np.exp(-self.r * self.T) * norm.cdf(-d2)
+            
+        return first_term + second_term
+    
+    def vega(self):
+        """Calculate option vega (sensitivity to volatility change)."""
+        d1 = (np.log(self.S / self.K) + (self.r + 0.5 * self.sigma**2) * self.T) / (self.sigma * np.sqrt(self.T))
+        
+        # Vega is the same for both calls and puts
+        # Divide by 100 to get sensitivity per 1% volatility change
+        return (self.S * norm.pdf(d1) * np.sqrt(self.T)) / 100
+    
+    def greeks(self):
+        """Calculate all Greeks at once."""
+        return {
+            'price': self.price(),
+            'delta': self.delta(),
+            'gamma': self.gamma(),
+            'theta': self.theta(),
+            'vega': self.vega()
+        }

quantflow_finance-0.1.0.dist-info/METADATA

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+Metadata-Version: 2.4
+Name: quantflow-finance
+Version: 0.1.0
+Summary: Essential quantitative finance tools for modern portfolio management
+Home-page: https://github.com/jeevanba273/quantflow
+Author: JEEVAN B A
+Author-email: jeevanba273@gmail.com
+Classifier: Development Status :: 3 - Alpha
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Requires-Python: >=3.8
+Description-Content-Type: text/markdown
+Requires-Dist: numpy>=1.20.0
+Requires-Dist: scipy>=1.7.0
+Requires-Dist: pandas>=1.3.0
+Requires-Dist: matplotlib>=3.3.0
+Requires-Dist: yfinance>=0.1.70
+Provides-Extra: dev
+Requires-Dist: pytest>=6.0; extra == "dev"
+Requires-Dist: black; extra == "dev"
+Requires-Dist: flake8; extra == "dev"
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: provides-extra
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
+
+A comprehensive Python package for options pricing, risk analytics, and market data processing.

quantflow_finance-0.1.0.dist-info/RECORD

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+quantflow/options/__init__.py,sha256=APJLkYOzHFi3YdTuBGqzVnoPhFfux-D5FTsyKcvBzDA,257
+quantflow/options/black_scholes.py,sha256=0hUGvh1pE64xeXELsnOO1rkmfM8iSg7HFva50WcdqKM,3272
+quantflow_finance-0.1.0.dist-info/METADATA,sha256=pd2z-Qui2RJrAResK18z3DA6qG0nMwdShvozzfIKTxM,1263
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+quantflow_finance-0.1.0.dist-info/top_level.txt,sha256=sB0SEFBNnqB89JBoJuaBB-CMHUCAFVrFkJ-W55BBiJ4,10
+quantflow_finance-0.1.0.dist-info/RECORD,,

quantflow_finance-0.1.0.dist-info/WHEEL

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+Wheel-Version: 1.0
+Generator: setuptools (80.9.0)
+Root-Is-Purelib: true
+Tag: py3-none-any
+

quantflow_finance-0.1.0.dist-info/top_level.txt

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+quantflow