Dan Tylenda-Emmons Twitter: @CoderTrader Email: jrubyist@gmail.com
A pure Ruby implementation of the classic Black-Scholes option model for pricing Calls or Puts.
- Provide the Open Source Ruby, JRuby and StockTwits communities with a publicly available model for computing option prices.
- Allow users of the library to compute price and greeks: delta, gamma, theta, vega and rho.
- To aid others in the understanding of how price and sensitivities to other factors are computed on a theoretical basis.
- To allo users of the library to extend or contribute back to the project so that it may be improved upon.
gem install options_library
require 'rubygems'
require 'options_library'
call = Option::Call.new
call.underlying = 95.40 # spot price of the underlying
call.strike = 90.00 # strike price of option
call.time = 0.015 # time in years
call.interest = 0.01 # equates to 1% risk free interest
call.sigma = 0.4875 # equates to 48.75% volatility
call.dividend = 0.0 # no annual dividend yield
price = call.calc_price # theoretical value of the option
delta = call.calc_delta # option price sensitivity to a change in underlying price
gamma = call.calc_gamma # option delta sensitivity to a change in underlying price
vega = call.calc_vega # option price sensitivity to a change in sigma (volatility)
implied_vol = call.calc_implied_vol( 1.80 ) # implied volatility based on the target price
# Or go straight at the Calculator methods
# Option::Calculator.price_call( underlying, strike, time, interest, sigma, dividend )
call_price = Option::Calculator.price_call( 94.5, 90.5, 0.015, 0.01, 0.4875, 0.0 )
To run the tests:
$ rake
To add tests see the Commands section earlier in this
README.
- Fork it.
- Create a branch (
git checkout -b my_options_library) - Commit your changes (
git commit -am "Added Hull-White Model") - Push to the branch (
git push origin my_options_library) - Create an Issue with a link to your branch
- Enjoy a fresh cup of coffee and wait