MibianLib

Use the mibian.Me class to price European options on stocks that pay dividends.

Constructor Arguments: Pass a list containing [underlyingPrice, strikePrice, interestRate, annualDividends, daysToExpiration] followed by optional keyword arguments:

• volatility: The asset volatility.
• callPrice: The current market price of the call option.
• putPrice: The current market price of the put option.

Available Attributes/Methods:

• callPrice, putPrice: Option prices.
• callDelta, putDelta: Option deltas.
• callDelta2, putDelta2: Dual deltas.
• callTheta, putTheta: Option theta.
• callRho, putRho: Option rho.
• vega: Option vega.
• gamma: Option gamma.
• impliedVolatility: Returns the implied volatility if callPrice or putPrice is provided.
• putCallParity: Returns the put-call parity if both callPrice and putPrice are provided.

import mibian

# Pricing with volatility
c = mibian.Me([52, 50, 1, 1, 30], volatility=20)
print(c.callPrice)
print(c.callDelta)

# Calculating implied volatility
c = mibian.Me([52, 50, 1, 1, 30], callPrice=0.0359)
print(c.impliedVolatility)

Use the mibian.BS class to price European options on stocks that do not pay dividends.

Constructor Arguments: Pass a list containing [underlyingPrice, strikePrice, interestRate, daysToExpiration] followed by optional keyword arguments:

• volatility: The asset volatility.
• callPrice: The current market price of the call option (used to calculate implied volatility).
• putPrice: The current market price of the put option (used to calculate implied volatility).

Available Attributes/Methods:

• callPrice, putPrice: Option prices.
• callDelta, putDelta: Option deltas.
• callDelta2, putDelta2: Dual deltas.
• callTheta, putTheta: Option theta.
• callRho, putRho: Option rho.
• vega: Option vega.
• gamma: Option gamma.
• impliedVolatility: Returns the implied volatility if callPrice or putPrice is provided.
• putCallParity: Returns the put-call parity if both callPrice and putPrice are provided.

import mibian

# Pricing with volatility
c = mibian.BS([1.4565, 1.45, 1, 30], volatility=20)
print(c.callPrice)
print(c.putPrice)
print(c.callDelta)

# Calculating implied volatility from call price
c = mibian.BS([1.4565, 1.45, 1, 30], callPrice=0.0359)
print(c.impliedVolatility)

# Calculating put-call parity
c = mibian.BS([1.4565, 1.45, 1, 30], callPrice=0.0359, putPrice=0.0306)
print(c.putCallParity)

Use the mibian.GK class to price European options on currencies.

Constructor Arguments: Pass a list containing [underlyingPrice, strikePrice, domesticRate, foreignRate, daysToExpiration] followed by optional keyword arguments:

• volatility: The asset volatility.
• callPrice: The current market price of the call option.
• putPrice: The current market price of the put option.

Available Attributes/Methods:

• callPrice, putPrice: Option prices.
• callDelta, putDelta: Option deltas.
• callDelta2, putDelta2: Dual deltas.
• callTheta, putTheta: Option theta.
• callRhoD, putRhoD: Domestic rho.
• callRhoF, putRhoF: Foreign rho.
• vega: Option vega.
• gamma: Option gamma.
• impliedVolatility: Returns the implied volatility if callPrice or putPrice is provided.
• putCallParity: Returns the put-call parity if both callPrice and putPrice are provided.

import mibian

# Pricing with volatility
c = mibian.GK([1.4565, 1.45, 1, 2, 30], volatility=20)
print(c.callPrice)
print(c.callRhoD)
print(c.callRhoF)

# Calculating implied volatility
c = mibian.GK([1.4565, 1.45, 1, 2, 30], callPrice=0.0359)
print(c.impliedVolatility)