black-scholes | Black Scholes formula and greeks | Data Manipulation library

by daleroberts R Version: Current License: BSD-3-Clause

X-Ray Key Features Code Snippets Community Discussions(10)Vulnerabilities Install Support

kandi X-RAY | black-scholes Summary

black-scholes is a R library typically used in Utilities, Data Manipulation applications. black-scholes has no bugs, it has no vulnerabilities, it has a Permissive License and it has low support. You can download it from GitHub.

Black Scholes formula and greeks

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Support

black-scholes has a low active ecosystem.

It has 33 star(s) with 19 fork(s). There are 5 watchers for this library.

It had no major release in the last 6 months.

black-scholes has no issues reported. There are no pull requests.

It has a neutral sentiment in the developer community.

The latest version of black-scholes is current.

Quality

black-scholes has no bugs reported.

Security

black-scholes has no vulnerabilities reported, and its dependent libraries have no vulnerabilities reported.

License

black-scholes is licensed under the BSD-3-Clause License. This license is Permissive.

Permissive licenses have the least restrictions, and you can use them in most projects.

Reuse

black-scholes releases are not available. You will need to build from source code and install.

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black-scholes Key Features

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black-scholes Examples and Code Snippets

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Community Discussions

Trending Discussions on black-scholes

Trying to find an error on the implementation of a simple BS formula

How do I call this function in python

boundary and initial conditions are inconsistent when solving Black Sholes PDE

How to convert Normal/cdf() computation that was originally written using sympy.statistics to use sympy.stats?

Yahoo Finance Cookie Crumb no longer working

Problems getting Python Swig to run

Error is fsolve in R when trying to fill a matrix with values; looking for explanation and/or solution

(SAS) Option Implied volatility calculation using proc model or whatever procedure

Why can't Python find the second function in my module?

How to iterate nested lists with another list to create a dictionary of lists Python

QUESTION

Trying to find an error on the implementation of a simple BS formula

Asked 2021-Feb-12 at 21:59


Blackscholes_formula <- function(spot,timetomat,strike,r,q=0,sigma,opt_type=1,greek_type=1)
  {
  
  d_1<-(log(spot/k) + (r+ (sigma^2)/2)(timetomat))/sigma*sqrt(T-t)
        
  d_2 <-d_1-((sigma^2)/2)*timetomat) 
  
  if(greek_type == 1) result <- spot*pnorm(d_1)- K exp(-r*timetomat)*pnorm(d_2)
  
  if(greek_type == 2) result <- pnorm(d_1)

  Blackscholes_formula <- result
}

...

ANSWER

Answered 2021-Feb-12 at 21:59

A few things. First, I think you are missing an asterisk, but there are other issues.

Your function needs a prompt for K. This variable is also upper and lower case in your function. You also need variables t and t_cap. (We don't use T as a variable because it is reserved for TRUE)
You have a loose K in the first if() statement (how does K interact with exp()?)
I'm not 100% positive, but your asking your function to return itself. I'd just type result.

Here's a function that compiled for me, with all new variables set to 1

Source https://stackoverflow.com/questions/66173858

QUESTION

How do I call this function in python

Asked 2020-Oct-28 at 12:00

I am relative new in python. I am trying to replicate some code that I have found in a book.
How do I call the def plot_values(function). What am I supposed to insert as function when i try to call plot_values()? I am getting the error

...

ANSWER

Answered 2020-Oct-28 at 11:59

Your error TypeError: plot_values() missing 1 required positional argument: 'function' give you all the information you need.

plot_values() missing 1 required positional argument mean that you have to send another arguments to the function plot_values. The argument missing is a positional argument called function (positional because you don't have to pass it by keywords. eg. fonction=).

You have to understand that in Python, everything is an object. You can do:

Source https://stackoverflow.com/questions/64571922

QUESTION

boundary and initial conditions are inconsistent when solving Black Sholes PDE

Asked 2019-Dec-25 at 07:24

I want to solve the two-factor Black-Scholes PDE,

...

ANSWER

Answered 2019-Dec-25 at 07:24

If I open up Wolfram Cloud Link in my browser and I patiently wait for the "Type your Wolfram Language Input..." to appear and I left mouse click in the empty box below that and I tap the "x" key and wait for that to appear and I tap the backspace key and wait for that to disappear and then I scrape-n-paste exactly this

Source https://stackoverflow.com/questions/59475746

QUESTION

How to convert Normal/cdf() computation that was originally written using sympy.statistics to use sympy.stats?

Asked 2019-Apr-27 at 06:58

I haven't kept up with the changes in SymPy. I was looking at the following Black Scholes formula at: https://aaronschlegel.me/black-scholes-formula-python.html. It seems there was some refactoring that was done in SymPy so this no longer works. How would I change the following so it works again:

...

ANSWER

Answered 2019-Apr-26 at 15:36

I think this is the correct conversion from the old statistics package to the new one. What do you guys think?

Source https://stackoverflow.com/questions/55870294

QUESTION

Yahoo Finance Cookie Crumb no longer working

Asked 2018-Sep-18 at 19:24

I have a VBA macro that I found somewhere on the internet last year after they changed their API around Q2 2017. It looks like they might have changed it again as when I run it all I get is:

...

ANSWER

Answered 2018-Sep-18 at 19:24

Ok, pretty simple fix actually.

This line:

Source https://stackoverflow.com/questions/51992681

QUESTION

Problems getting Python Swig to run

Asked 2018-Jan-23 at 04:48

I am trying to get Quantlib in Python to run. I had it running but had to make a new clean install and now I am struggeling getting it again running. I think the main problem seem to be in the wrapper.

My OS is Windows 10 and I am using python 3.6.3 |Anaconda custom (64-bit) and Visual Studio Community 2015. Quantlib compiles (64-bit) normally in VS15 and is also running.I compliled only the Quantlib solution not the full package.

My QL output is:

...

ANSWER

Answered 2018-Jan-07 at 11:33

There's nothing wrong with your installation. There is a problem in the tests, which surfaced recently (see https://github.com/lballabio/QuantLib-SWIG/issues/89). The problem was fixed (https://github.com/lballabio/QuantLib-SWIG/pull/90) but the fix still hasn't made into a release, hence the errors you're seeing.

You can go ahead and install the module you built.

Source https://stackoverflow.com/questions/48127708

QUESTION

Error is fsolve in R when trying to fill a matrix with values; looking for explanation and/or solution

Asked 2017-Oct-29 at 03:20

Solution Found

I am trying to plot a volatility surface using "persp" in R. To do so I need to fill a matrix, z, with implied volatilities.

I have a data frame of the strike prices, time and market prices. Data only contains call options.

...

ANSWER

Answered 2017-Oct-29 at 03:16

The error is to do with the changes in sigma becoming too small for the function fsolve. I was able to find another function that could solve non-linear equations and used that instead.

The function was nleqslv from a package of the same name nleqslv.

Source https://stackoverflow.com/questions/46985735

QUESTION

(SAS) Option Implied volatility calculation using proc model or whatever procedure

Asked 2017-May-04 at 14:19

I am a beginner to use SAS. I want to calculate an implied volatility.

My dataset looks like below

Option_code / put_call_idx / underlying_price / dividend_yield / maturity / option_premium / strike_price / etc.

...

ANSWER

Answered 2017-May-04 at 14:19

I have dealt with this issue a lot. Often time option quotes are stale and do not make sense. When you attempt to solve for the implied volatility, the solution hits the bound at IV=0. For example, a simple call is quoted at $5, but is $6 in the money. You should check for values that do not make sense and find a way to handle them.

I like your PROC MODEL method Personally, I would put these into my own functions using PROC FCMP and use the Data Step. There is a SOLVE function available in FCMP that can find the root for you.

Source https://stackoverflow.com/questions/43781780

QUESTION

Why can't Python find the second function in my module?

Asked 2017-Apr-30 at 16:31

Extreme Python newbie here. I'm trying to write some functions for the Black-Scholes option/greek formulas for LibreOffice Calc. I wanted to make one big module with various functions I will need to use in a few spreadsheets. I have them saved in a file called TradingUtilities.py. The first two functions look like,

...

ANSWER

Answered 2017-Apr-30 at 14:27

There is typo in your code

Source https://stackoverflow.com/questions/43707465

QUESTION

How to iterate nested lists with another list to create a dictionary of lists Python

Asked 2017-Apr-11 at 01:45

I'm using Mibian module to calculate call options. I have a list of three nested lists. Each nested list represent strike prices. Each nested list has their own respective days left to expiration, i.e. my_list[2] has 30 days left.

...

ANSWER

Answered 2017-Apr-11 at 01:11

I think this does what you want. Please note, most of this is trying to simulate your environment - you only care about the last couple of lines.

That said, a data structure indexed by sequential numbers shouldn't be a dict, it should be a list. ;-)

Source https://stackoverflow.com/questions/43334794

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Vulnerabilities

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