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vollib

option pricing, implied volatility, greeks

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  1. vollib vollib Public

    Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Sc…

    Python 813 109

  2. py_vollib py_vollib Public

    Python 347 79

  3. py_lets_be_rational py_lets_be_rational Public

    Python 59 35

  4. lets_be_rational lets_be_rational Public

    C++ 41 15

  5. js_lets_be_rational js_lets_be_rational Public

    CoffeeScript 8 2

  6. j_vollib j_vollib Public

    Java 5 3

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