README
¶
go-blackscholes
Go implementation of the basic Black Scholes formulas for European option prices, greeks and implied volatility.
Edge cases such as e.g. zero volatility implemented exactly.
Use at your own risk.
Install
go get github.com/uscott/go-blackscholes@latest
Usage
Refer to test cases for more examples
package main
import (
"fmt"
bs "github.com/uscott/go-blackscholes"
)
func main() {
vol := 0.2
timeToExpiry := 1.0
spot := 100.0
strike := 100.0
interestRate := 0.02
dividendYield := 0.01
optionType := blackscholes.Straddle
price, err := blackscholes.Price(vol, timeToExpiry, spot, strike, interestRate, dividendYield, optionType)
if err != nil {
panic(err)
}
fmt.Printf("Price: %.2f\n", price)
}
Documentation
¶
Index ¶
- Constants
- Variables
- func AtmApprox(vol, timeToExpiry, spot, dividendYield float64, optionType OptionType) (price float64, err error)
- func CheckPriceParams(timeToExpiry, spot, strike float64, optionType OptionType) error
- func CorrectVolSign(extrinsic float64, vol float64) float64
- func Delta(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (delta float64, err error)
- func DeltaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (delta float64, err error)
- func DeltaZeroSpot(t, q float64, o OptionType) float64
- func DeltaZeroStrike(t, q float64, o OptionType) float64
- func DeltaZeroVol(t, x, k, r, q float64, o OptionType) float64
- func Gamma(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (gamma float64, err error)
- func GammaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (gamma float64, err error)
- func GammaZeroVol(t, x, k, r, q float64) float64
- func ImpliedVol(premium, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (vol float64, err error)
- func Intrinsic(timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) float64
- func NormCDF(x float64) float64
- func NormCDFInverse(q float64) float64
- func NormPDF(x float64) float64
- func Price(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (price float64, err error)
- func PriceSim(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (price float64, err error)
- func PriceZeroSpot(t, k, r float64, o OptionType) float64
- func PriceZeroStrike(t, x, q float64, o OptionType) float64
- func Theta(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (theta float64, err error)
- func ThetaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (theta float64, err error)
- func ThetaZeroSpot(t, k, r float64, o OptionType) float64
- func ThetaZeroStrike(t, x, q float64, o OptionType) float64
- func ThetaZeroVol(t, x, k, r, q float64, o OptionType) float64
- func ValidOptionType(optionType OptionType) bool
- func Vega(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (vega float64, err error)
- func VegaNumeric(vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, ...) (vega float64, err error)
- type ImpliedVolParams
- type OptionType
Constants ¶
View Source
const ( Call = OptionType('c') Put = OptionType('p') Straddle = OptionType('s') )
Variables ¶
View Source
var ( ErrNegVol = errors.New("Negative volatility") ErrNegTimeToExp = errors.New("Negative time to expiry") ErrNegPremium = errors.New("Negative option premium") ErrNegPrice = errors.New("Negative underlying price") ErrNegStrike = errors.New("Negative strike") ErrUnknownOptionType = errors.New("Unknown option type") ErrNilPtrArg = errors.New("Nil pointer argument") ErrNoncovergence = errors.New("Did not converge") )
View Source
var ErrMaxIterations = errors.New("max iterations exceeded")
View Source
var ErrNegativeEpsilon = errors.New("epsilon must be positive")
Functions ¶
func AtmApprox ¶
func AtmApprox( vol, timeToExpiry, spot, dividendYield float64, optionType OptionType, ) (price float64, err error)
AtmApprox approximates the option price when the spot discounted by the dividend yield is equal to the strike discounted by the interest rate.
func CheckPriceParams ¶
func CheckPriceParams(timeToExpiry, spot, strike float64, optionType OptionType) error
CheckPriceParams checks whether timeToExpiry, spot, and strike are non-negative, and optionType is one of the defined OptionType constants
func CorrectVolSign ¶
func Delta ¶
func Delta( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, ) (delta float64, err error)
func DeltaNumeric ¶ added in v0.2.0
func DeltaNumeric( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, epsilon ...float64, ) (delta float64, err error)
func DeltaZeroSpot ¶ added in v0.2.0
func DeltaZeroSpot(t, q float64, o OptionType) float64
func DeltaZeroStrike ¶ added in v0.2.0
func DeltaZeroStrike(t, q float64, o OptionType) float64
func DeltaZeroVol ¶ added in v0.2.0
func DeltaZeroVol(t, x, k, r, q float64, o OptionType) float64
func Gamma ¶
func Gamma( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, ) (gamma float64, err error)
func GammaNumeric ¶ added in v0.2.0
func GammaNumeric( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, epsilon ...float64, ) (gamma float64, err error)
func GammaZeroVol ¶ added in v0.2.0
func ImpliedVol ¶
func ImpliedVol( premium, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, params ...ImpliedVolParams, ) (vol float64, err error)
func Intrinsic ¶
func Intrinsic( timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, ) float64
func NormCDFInverse ¶
func Price ¶
func Price( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, ) (price float64, err error)
func PriceSim ¶ added in v0.2.0
func PriceSim( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, numPaths ...uint, ) (price float64, err error)
func PriceZeroSpot ¶ added in v0.2.0
func PriceZeroSpot(t, k, r float64, o OptionType) float64
func PriceZeroStrike ¶ added in v0.2.0
func PriceZeroStrike(t, x, q float64, o OptionType) float64
func Theta ¶
func Theta( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, ) (theta float64, err error)
func ThetaNumeric ¶ added in v0.2.0
func ThetaNumeric( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, epsilon ...float64, ) (theta float64, err error)
func ThetaZeroSpot ¶ added in v0.2.0
func ThetaZeroSpot(t, k, r float64, o OptionType) float64
func ThetaZeroStrike ¶ added in v0.2.0
func ThetaZeroStrike(t, x, q float64, o OptionType) float64
func ThetaZeroVol ¶ added in v0.2.0
func ThetaZeroVol(t, x, k, r, q float64, o OptionType) float64
func ValidOptionType ¶
func ValidOptionType(optionType OptionType) bool
func Vega ¶
func Vega( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, ) (vega float64, err error)
func VegaNumeric ¶ added in v0.2.0
func VegaNumeric( vol, timeToExpiry, spot, strike, interestRate, dividendYield float64, optionType OptionType, epsilon ...float64, ) (vega float64, err error)
Types ¶
type ImpliedVolParams ¶
type OptionType ¶
type OptionType rune
Source Files
Click to show internal directories.
Click to hide internal directories.