├── demo ├── plotDataDemo.m └── demo.py ├── requirements.txt ├── README.md ├── parula.py ├── .gitignore ├── volSurfacePlot.py ├── pricing.py ├── UI.py └── LICENSE /demo/plotDataDemo.m: -------------------------------------------------------------------------------- 1 | clear 2 | load('data1.mat') 3 | load('data2.mat') 4 | load('data3.mat') 5 | subplot(1,3,1) 6 | surf(S01, T1.*252, price1) 7 | xlabel('Stock Price') 8 | ylabel('Days till Expiry') 9 | zlabel('Option Price') 10 | shading interp 11 | axis square 12 | subplot(1,3,2) 13 | surf(S02, vol2, price2) 14 | xlabel('Stock Price') 15 | ylabel('IV of ATM call') 16 | zlabel('Option Price') 17 | shading interp 18 | axis square 19 | subplot(1,3,3) 20 | surf(vol3, T3.*252, price3) 21 | xlabel('IV of ATM call') 22 | ylabel('Days till Expiry') 23 | zlabel('Option Price') 24 | shading interp 25 | axis square 26 | sgtitle('Reverse Iron Butterfly Spread') -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- 1 | appdirs==1.4.4 2 | beautifulsoup4==4.12.2 3 | certifi==2023.7.22 4 | charset-normalizer==3.2.0 5 | contourpy==1.1.0 6 | cycler==0.11.0 7 | exchange-calendars==4.2.8 8 | fonttools==4.41.1 9 | frozendict==2.3.8 10 | html5lib==1.1 11 | idna==3.4 12 | kiwisolver==1.4.4 13 | korean-lunar-calendar==0.3.1 14 | lxml==4.9.3 15 | matplotlib==3.7.2 16 | multitasking==0.0.11 17 | numpy==1.25.1 18 | packaging==23.1 19 | pandas==2.0.3 20 | pandas-market-calendars==4.1.4 21 | Pillow==10.0.0 22 | pyluach==2.2.0 23 | pyparsing==3.0.9 24 | PyQt5==5.15.9 25 | PyQt5-Qt5==5.15.2 26 | PyQt5-sip==12.12.1 27 | python-dateutil==2.8.2 28 | pytz==2023.3 29 | requests==2.31.0 30 | scipy==1.11.1 31 | six==1.16.0 32 | soupsieve==2.4.1 33 | toolz==0.12.0 34 | tzdata==2023.3 35 | urllib3==2.0.4 36 | webencodings==0.5.1 37 | yfinance==0.2.26 38 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # optionsVisualizer 2 | 3 | Tool to visualize changes in the Black–Scholes model with respect to other variables. 2D or 3D data output. Can also be used to get current Greeks for a given option. European style options. 4 | 5 | 6 | ![UI](https://i.imgur.com/LHmT5Tq.png) 7 | 8 | ![Demo](https://i.imgur.com/E5PQr3M.png) 9 | 10 | 11 | ## Installation 12 | 13 | Install the required Python packages: 14 | ```bash 15 | pip install -r requirements.txt 16 | -------------------------------------------------------------------------------- /demo/demo.py: -------------------------------------------------------------------------------- 1 | from pricing import option 2 | from scipy import io 3 | import numpy as np 4 | 5 | def sumprice(outs): 6 | for i in range(len(outs)): 7 | outs[i]['price']=np.array(outs[i]['price']) 8 | if i == 0: 9 | price=outs[0]['price'] 10 | else: 11 | price+=outs[i]['price'] 12 | return price 13 | 14 | pb = option(otype='put', marketPrice=5.78, S0=334.54, K=325, expDay='2020-09-18', q=0.0171) 15 | ps = option(otype='put', marketPrice=8.98, S0=334.54, K=335, expDay='2020-09-18', q=0.0171) 16 | cs = option(otype='call', marketPrice=7.89, S0=334.54, K=335, expDay='2020-09-18', q=0.0171) 17 | cb = option(otype='call', marketPrice=3.14, S0=334.54, K=345, expDay='2020-09-18', q=0.0171) 18 | toSweep = {'S0' : (315, 355, 100), 'T' : (0.01, 0.11, 100)} 19 | toGrab = ('price') 20 | outs = [] 21 | outs.append(pb.sweep(toSweep, toGrab)) 22 | outs.append(ps.sweep(toSweep, toGrab)) 23 | outs.append(cs.sweep(toSweep, toGrab)) 24 | outs.append(cb.sweep(toSweep, toGrab)) 25 | 26 | price = sumprice(outs) 27 | 28 | io.savemat('data1.mat', {'S01': outs[0]['S0'], 'T1': outs[0]['T'], 'price1': price}) 29 | 30 | toSweep = {'S0' : (315, 355, 100), 'vol' : (0.1, 0.3, 100)} 31 | toGrab = ('price') 32 | outs = [] 33 | outs.append(pb.sweep(toSweep, toGrab)) 34 | outs.append(ps.sweep(toSweep, toGrab)) 35 | outs.append(cs.sweep(toSweep, toGrab)) 36 | outs.append(cb.sweep(toSweep, toGrab)) 37 | 38 | price = sumprice(outs) 39 | 40 | io.savemat('data2.mat', {'S02': outs[0]['S0'], 'vol2': outs[2]['vol'], 'price2': price}) 41 | 42 | toSweep = {'vol' : (0.1, 0.3, 100), 'T' : (0.01, 0.11, 100)} 43 | toGrab = ('price') 44 | outs = [] 45 | outs.append(pb.sweep(toSweep, toGrab)) 46 | outs.append(ps.sweep(toSweep, toGrab)) 47 | outs.append(cs.sweep(toSweep, toGrab)) 48 | outs.append(cb.sweep(toSweep, toGrab)) 49 | 50 | price = sumprice(outs) 51 | 52 | io.savemat('data3.mat', {'vol3': outs[2]['vol'], 'T3': outs[0]['T'], 'price3': price}) 53 | 54 | -------------------------------------------------------------------------------- /parula.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | """ 3 | Created on Sat Aug 8 23:12:46 2020 4 | 5 | @author: Jimmy 6 | """ 7 | 8 | def parula(): 9 | return [[0.2081, 0.1663, 0.5292], [0.2116238095, 0.1897809524, 0.5776761905], 10 | [0.212252381, 0.2137714286, 0.6269714286], [0.2081, 0.2386, 0.6770857143], 11 | [0.1959047619, 0.2644571429, 0.7279], [0.1707285714, 0.2919380952, 12 | 0.779247619], [0.1252714286, 0.3242428571, 0.8302714286], 13 | [0.0591333333, 0.3598333333, 0.8683333333], [0.0116952381, 0.3875095238, 14 | 0.8819571429], [0.0059571429, 0.4086142857, 0.8828428571], 15 | [0.0165142857, 0.4266, 0.8786333333], [0.032852381, 0.4430428571, 16 | 0.8719571429], [0.0498142857, 0.4585714286, 0.8640571429], 17 | [0.0629333333, 0.4736904762, 0.8554380952], [0.0722666667, 0.4886666667, 18 | 0.8467], [0.0779428571, 0.5039857143, 0.8383714286], 19 | [0.079347619, 0.5200238095, 0.8311809524], [0.0749428571, 0.5375428571, 20 | 0.8262714286], [0.0640571429, 0.5569857143, 0.8239571429], 21 | [0.0487714286, 0.5772238095, 0.8228285714], [0.0343428571, 0.5965809524, 22 | 0.819852381], [0.0265, 0.6137, 0.8135], [0.0238904762, 0.6286619048, 23 | 0.8037619048], [0.0230904762, 0.6417857143, 0.7912666667], 24 | [0.0227714286, 0.6534857143, 0.7767571429], [0.0266619048, 0.6641952381, 25 | 0.7607190476], [0.0383714286, 0.6742714286, 0.743552381], 26 | [0.0589714286, 0.6837571429, 0.7253857143], 27 | [0.0843, 0.6928333333, 0.7061666667], [0.1132952381, 0.7015, 0.6858571429], 28 | [0.1452714286, 0.7097571429, 0.6646285714], [0.1801333333, 0.7176571429, 29 | 0.6424333333], [0.2178285714, 0.7250428571, 0.6192619048], 30 | [0.2586428571, 0.7317142857, 0.5954285714], [0.3021714286, 0.7376047619, 31 | 0.5711857143], [0.3481666667, 0.7424333333, 0.5472666667], 32 | [0.3952571429, 0.7459, 0.5244428571], [0.4420095238, 0.7480809524, 33 | 0.5033142857], [0.4871238095, 0.7490619048, 0.4839761905], 34 | [0.5300285714, 0.7491142857, 0.4661142857], [0.5708571429, 0.7485190476, 35 | 0.4493904762], [0.609852381, 0.7473142857, 0.4336857143], 36 | [0.6473, 0.7456, 0.4188], [0.6834190476, 0.7434761905, 0.4044333333], 37 | [0.7184095238, 0.7411333333, 0.3904761905], 38 | [0.7524857143, 0.7384, 0.3768142857], [0.7858428571, 0.7355666667, 39 | 0.3632714286], [0.8185047619, 0.7327333333, 0.3497904762], 40 | [0.8506571429, 0.7299, 0.3360285714], [0.8824333333, 0.7274333333, 0.3217], 41 | [0.9139333333, 0.7257857143, 0.3062761905], [0.9449571429, 0.7261142857, 42 | 0.2886428571], [0.9738952381, 0.7313952381, 0.266647619], 43 | [0.9937714286, 0.7454571429, 0.240347619], [0.9990428571, 0.7653142857, 44 | 0.2164142857], [0.9955333333, 0.7860571429, 0.196652381], 45 | [0.988, 0.8066, 0.1793666667], [0.9788571429, 0.8271428571, 0.1633142857], 46 | [0.9697, 0.8481380952, 0.147452381], [0.9625857143, 0.8705142857, 0.1309], 47 | [0.9588714286, 0.8949, 0.1132428571], [0.9598238095, 0.9218333333, 48 | 0.0948380952], [0.9661, 0.9514428571, 0.0755333333], 49 | [0.9763, 0.9831, 0.0538]] -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- 1 | # Byte-compiled / optimized / DLL files 2 | __pycache__/ 3 | *.py[cod] 4 | *$py.class 5 | 6 | # C extensions 7 | *.so 8 | 9 | # Distribution / packaging 10 | .Python 11 | build/ 12 | develop-eggs/ 13 | dist/ 14 | downloads/ 15 | eggs/ 16 | .eggs/ 17 | lib/ 18 | lib64/ 19 | parts/ 20 | sdist/ 21 | var/ 22 | wheels/ 23 | share/python-wheels/ 24 | *.egg-info/ 25 | .installed.cfg 26 | *.egg 27 | MANIFEST 28 | 29 | # PyInstaller 30 | # Usually these files are written by a python script from a template 31 | # before PyInstaller builds the exe, so as to inject date/other infos into it. 32 | *.manifest 33 | *.spec 34 | 35 | # Installer logs 36 | pip-log.txt 37 | pip-delete-this-directory.txt 38 | 39 | # Unit test / coverage reports 40 | htmlcov/ 41 | .tox/ 42 | .nox/ 43 | .coverage 44 | .coverage.* 45 | .cache 46 | nosetests.xml 47 | coverage.xml 48 | *.cover 49 | *.py,cover 50 | .hypothesis/ 51 | .pytest_cache/ 52 | cover/ 53 | 54 | # Translations 55 | *.mo 56 | *.pot 57 | 58 | # Django stuff: 59 | *.log 60 | local_settings.py 61 | db.sqlite3 62 | db.sqlite3-journal 63 | 64 | # Flask stuff: 65 | instance/ 66 | .webassets-cache 67 | 68 | # Scrapy stuff: 69 | .scrapy 70 | 71 | # Sphinx documentation 72 | docs/_build/ 73 | 74 | # PyBuilder 75 | .pybuilder/ 76 | target/ 77 | 78 | # Jupyter Notebook 79 | .ipynb_checkpoints 80 | 81 | # IPython 82 | profile_default/ 83 | ipython_config.py 84 | 85 | # pyenv 86 | # For a library or package, you might want to ignore these files since the code is 87 | # intended to run in multiple environments; otherwise, check them in: 88 | # .python-version 89 | 90 | # pipenv 91 | # According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control. 92 | # However, in case of collaboration, if having platform-specific dependencies or dependencies 93 | # having no cross-platform support, pipenv may install dependencies that don't work, or not 94 | # install all needed dependencies. 95 | #Pipfile.lock 96 | 97 | # poetry 98 | # Similar to Pipfile.lock, it is generally recommended to include poetry.lock in version control. 99 | # This is especially recommended for binary packages to ensure reproducibility, and is more 100 | # commonly ignored for libraries. 101 | # https://python-poetry.org/docs/basic-usage/#commit-your-poetrylock-file-to-version-control 102 | #poetry.lock 103 | 104 | # pdm 105 | # Similar to Pipfile.lock, it is generally recommended to include pdm.lock in version control. 106 | #pdm.lock 107 | # pdm stores project-wide configurations in .pdm.toml, but it is recommended to not include it 108 | # in version control. 109 | # https://pdm.fming.dev/#use-with-ide 110 | .pdm.toml 111 | 112 | # PEP 582; used by e.g. github.com/David-OConnor/pyflow and github.com/pdm-project/pdm 113 | __pypackages__/ 114 | 115 | # Celery stuff 116 | celerybeat-schedule 117 | celerybeat.pid 118 | 119 | # SageMath parsed files 120 | *.sage.py 121 | 122 | # Environments 123 | .env 124 | .venv 125 | env/ 126 | venv/ 127 | ENV/ 128 | env.bak/ 129 | venv.bak/ 130 | v/ 131 | 132 | # Spyder project settings 133 | .spyderproject 134 | .spyproject 135 | 136 | # Rope project settings 137 | .ropeproject 138 | 139 | # mkdocs documentation 140 | /site 141 | 142 | # mypy 143 | .mypy_cache/ 144 | .dmypy.json 145 | dmypy.json 146 | 147 | # Pyre type checker 148 | .pyre/ 149 | 150 | # pytype static type analyzer 151 | .pytype/ 152 | 153 | # Cython debug symbols 154 | cython_debug/ 155 | 156 | # PyCharm 157 | # JetBrains specific template is maintained in a separate JetBrains.gitignore that can 158 | # be found at https://github.com/github/gitignore/blob/main/Global/JetBrains.gitignore 159 | # and can be added to the global gitignore or merged into this file. For a more nuclear 160 | # option (not recommended) you can uncomment the following to ignore the entire idea folder. 161 | #.idea/ 162 | -------------------------------------------------------------------------------- /volSurfacePlot.py: -------------------------------------------------------------------------------- 1 | from pandas_datareader.data import Options 2 | from dateutil.parser import parse 3 | from datetime import datetime 4 | from numpy import * 5 | import matplotlib.pyplot as plt 6 | from mpl_toolkits.mplot3d import Axes3D 7 | from matplotlib import cm 8 | from matplotlib.colors import LogNorm 9 | #from implied_vol import BlackScholes 10 | from functools import partial 11 | from scipy import optimize 12 | from scipy import stats 13 | from scipy import interpolate 14 | import numpy as np 15 | from scipy.interpolate import griddata 16 | import yfinance as yf 17 | import pandas as pd 18 | import pandas_market_calendars as mcal 19 | from matplotlib.colors import LinearSegmentedColormap 20 | from parula import parula 21 | 22 | 23 | pd.set_option('display.max_columns', None) 24 | pd.set_option('display.width', 1000) 25 | 26 | 27 | def nan_helper(y): 28 | return np.isnan(y), lambda z: z.nonzero()[0] 29 | 30 | def oprice(otype, S0=None, K=None, vol=None, r=None, T=None, q=0): 31 | d1 = (np.log(S0/K)+(r - q + vol**2/2)*T)/(vol*np.sqrt(T)) 32 | d2 = d1-vol*np.sqrt(T) 33 | if otype == 'Call': 34 | return S0*np.exp(-q*T)*stats.norm.cdf(d1)-K*np.exp(-r*T)*stats.norm.cdf(d2) 35 | elif otype == 'Put': 36 | return K*np.exp(-r*T)*stats.norm.cdf(-d2) - S0*np.exp(-q*T)*stats.norm.cdf(-d1) 37 | 38 | def plot3D(X,Y,Z): 39 | fig = plt.figure() 40 | ax = Axes3D(fig, azim = -29, elev = 50) 41 | 42 | ax.plot(X,Y,Z,'o') 43 | 44 | plt.xlabel("expiry") 45 | plt.ylabel("strike") 46 | plt.show() 47 | 48 | def toT(bid, ask, expiry): 49 | daysInYear = 255 50 | nyse = mcal.get_calendar('NYSE') 51 | price = (bid+ask)/2.0 52 | expiry = expiry.to_numpy() 53 | expDay = expiry.astype('datetime64', copy=False) 54 | T = (np.busday_count(np.datetime64('today'), expDay, holidays=nyse.holidays().holidays)+2)/daysInYear 55 | return T 56 | 57 | def get_surf(ticker, otype): 58 | tick = yf.Ticker(ticker) 59 | underlying = (tick.info['bid'] + tick.info['ask'])/2 60 | dates = list(tick.options) 61 | nyse = mcal.get_calendar('NYSE') 62 | for i in dates: 63 | if np.busday_count(np.datetime64('today'), np.datetime64(i), holidays=nyse.holidays().holidays) < 2: 64 | dates.remove(i) 65 | 66 | ran = 0 67 | for d in dates: 68 | if ran == 0: 69 | if otype == 'Put': 70 | q = tick.option_chain(d).puts 71 | elif otype == 'Call': 72 | q = tick.option_chain(d).calls 73 | q.insert(14, 'expiry', [d for i in range(len(q.index))]) 74 | q = q[q['volume'] >= 10] 75 | ran = 1 76 | else: 77 | if otype == 'Put': 78 | temp = tick.option_chain(d).puts 79 | elif otype == 'Call': 80 | temp = tick.option_chain(d).calls 81 | temp.insert(14, 'expiry', [d for i in range(len(temp.index))]) 82 | temp = temp[temp['volume'] >= 10] 83 | q = q.append(temp) 84 | q['expiry'] = toT(q['bid'], q['ask'], q['expiry']) 85 | q = q[['expiry', 'strike', 'impliedVolatility']] 86 | q = q[q['expiry'] < 0.25] 87 | q = q[(q['strike'].astype('float') > underlying * 0.5) & (q['strike'].astype('float') < underlying * 1.5)] 88 | vals = q.to_numpy().T 89 | vals = vals.astype(np.float64) 90 | fig = plt.figure() 91 | ax = Axes3D(fig, azim = 170, elev = 40) 92 | mesh_plot2(vals[0],vals[1],vals[2], len(set(q['expiry'])),fig, ax, ticker + ' ' + otype + ' Volatility Surface') 93 | 94 | def make_surf(X,Y,Z,nDates): 95 | XX,YY = meshgrid(linspace(min(X),max(X),nDates),linspace(min(Y),max(Y),int(max(Y)-min(Y)))) 96 | ZZ = griddata(array([X,Y]).T,array(Z),(XX,YY), method='linear') 97 | nans, x = nan_helper(ZZ) 98 | ZZ[nans] = np.interp(x(nans), x(~nans), ZZ[~nans]) 99 | return XX,YY,ZZ 100 | 101 | def mesh_plot2(X,Y,Z,nDates,fig,ax, title): 102 | parula_map = LinearSegmentedColormap.from_list('parula', parula()) 103 | XX,YY,ZZ = make_surf(X,Y,Z,nDates) 104 | ax.plot_surface(XX,YY,ZZ, cmap=parula_map) 105 | ax.set_xlabel("Years to Expiry") 106 | ax.set_ylabel("Strike") 107 | ax.set_zlabel("Implied Volatility") 108 | ax.set_title(title) 109 | 110 | 111 | get_surf('SPY', 'Put') -------------------------------------------------------------------------------- /pricing.py: -------------------------------------------------------------------------------- 1 | #from marketData import marketData 2 | import pandas_market_calendars as mcal 3 | import numpy as np 4 | from scipy import optimize 5 | from scipy import stats 6 | 7 | class option(): 8 | def __init__(self, otype, S0, K, q=0, marketPrice=None, T=None, expDay=None, vol=None, r=0.025, ls='Long'): 9 | self.S0=S0 10 | self.K=K 11 | self.r=r 12 | self.otype=otype.title() 13 | self.daysInYear = 252 14 | self.q=q 15 | self.ls = ls 16 | if T is None and expDay is None: 17 | print('Please enter days to expiry or expiration day') 18 | elif T is None: 19 | self.expDayStr = expDay 20 | expDay = np.datetime64(expDay) 21 | nyse = mcal.get_calendar('NYSE') 22 | self.T= (np.busday_count(np.datetime64('today'), expDay, holidays=nyse.holidays().holidays)+1)/self.daysInYear 23 | else: 24 | self.T=T 25 | 26 | if marketPrice is None and vol is None: 27 | print('Please enter either market price or implied vol of option') 28 | elif marketPrice is None: 29 | self.vol=vol 30 | self.marketPrice=self.price() 31 | elif vol is None: 32 | self.marketPrice=marketPrice 33 | self.vol=self.IV() 34 | 35 | def inpcheck(self, S0=None, K=None, vol=None, r=None, T=None, q=0): 36 | if S0 is None: S0 = self.S0 37 | if K is None: K = self.K 38 | if vol is None: vol = self.vol 39 | if r is None: r = self.r 40 | if T is None: T = self.T 41 | return S0, K, vol, r, T, q 42 | 43 | def d1d2(self, S0=None, K=None, vol=None, r=None, T=None, q=0): 44 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 45 | d1 = (np.log(S0/K)+(r - q + vol**2/2)*T)/(vol*np.sqrt(T)) 46 | d2 = d1-vol*np.sqrt(T) 47 | return d1, d2 48 | 49 | def price(self, S0=None, K=None, vol=None, r=None, T=None, q=0): 50 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 51 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 52 | if self.otype == 'Call': 53 | return S0*np.exp(-q*T)*stats.norm.cdf(d1)-K*np.exp(-r*T)*stats.norm.cdf(d2) 54 | elif self.otype == 'Put': 55 | return K*np.exp(-r*T)*stats.norm.cdf(-d2) - S0*np.exp(-q*T)*stats.norm.cdf(-d1) 56 | 57 | def IV(self): 58 | c = lambda x: (self.price(vol=x)-self.marketPrice)**2 59 | x = 0.2 60 | res = optimize.minimize(c, x) 61 | return res.x[0] 62 | 63 | #variables 64 | #V - option price (referred to as price in code) 65 | #S - underlying stock price (referred to as S0 in code) 66 | #K - strike price 67 | #vol - volatility 68 | #r - risk free rate 69 | #q - annual dividend yield 70 | #T - time to expiration in years 71 | 72 | 73 | def delta(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #dV/dS 74 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 75 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 76 | if self.otype == 'Call': 77 | return np.exp(-q*T)*stats.norm.cdf(d1) 78 | elif self.otype == 'Put': 79 | return -np.exp(-q*T)*stats.norm.cdf(-d1) 80 | 81 | def vega(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #dV/dvol 82 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 83 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 84 | return np.exp(-q*T)*S0*np.sqrt(T)*stats.norm.pdf(d1) 85 | 86 | def theta(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #-dV/dT 87 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 88 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 89 | if self.otype == 'Call': 90 | return -(np.exp(-q*T)*S0*stats.norm.pdf(d1)*vol)/(2*np.sqrt(T)) - r*K*np.exp(-r*T)*stats.norm.cdf(d2) + q*S0*np.exp(-q*T)*stats.norm.cdf(d1) 91 | elif self.otype == 'Put': 92 | return -(np.exp(-q*T)*S0*stats.norm.pdf(-d1)*vol)/(2*np.sqrt(T)) + r*K*np.exp(-r*T)*stats.norm.cdf(-d2) - q*S0*np.exp(-q*T)*stats.norm.cdf(-d1) 93 | 94 | def rho(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #dV.dr 95 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 96 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 97 | if self.otype == 'Call': 98 | return K*T*np.exp(-r*T)*stats.norm.cdf(d2) 99 | elif self.otype == 'Put': 100 | return -K*T*np.exp(-r*T)*stats.norm.cdf(-d2) 101 | 102 | def omega(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #aka lambda - leverage = dV/dS * S/V 103 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 104 | return self.delta(S0, K, vol, r, T, q) * (S0/self.price(S0, K, vol, r, T, q)) 105 | 106 | def gamma(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^2V/dS^2 107 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 108 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 109 | return np.exp(-q*T)*(stats.norm.pdf(d1)/(S0*vol*np.sqrt(T))) 110 | 111 | def vanna(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^2V/dSdvol 112 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 113 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 114 | return -np.exp(-q*T)*stats.norm.pdf(d1)*d2/vol 115 | 116 | def charm(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #-d^2V/dTdS 117 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 118 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 119 | if self.otype == 'Call': 120 | return q*np.exp(-q*T)*stats.norm.cdf(d1) - np.exp(-q*T)*stats.norm.pdf(d1)*((2*(r-q)*T - d2*vol*np.sqrt(T))/(2*T*vol*np.sqrt(T))) 121 | elif self.otype == 'Put': 122 | return -q*np.exp(-q*T)*stats.norm.cdf(-d1) - np.exp(-q*T)*stats.norm.pdf(d1)*((2*(r-q)*T - d2*vol*np.sqrt(T))/(2*T*vol*np.sqrt(T))) 123 | 124 | def vomma(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^2V/dvol^2 125 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 126 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 127 | return S0*np.exp(-q*T)*stats.norm.pdf(d1)*np.sqrt(T)*((d1*d2)/vol) 128 | 129 | def veta(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^2V/dvoldT 130 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 131 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 132 | return -S0*np.exp(-q*T)*stats.norm.pdf(d1)*np.sqrt(T)*(q+(((r-q)*d1)/(vol*np.sqrt(T)))-(1+d1*d2)/(2*T)) 133 | 134 | def speed(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^3V/dS^3 135 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 136 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 137 | return -np.exp(-q*T)*((stats.norm.pdf(d1))/(S0**2*vol*np.sqrt(T)))*(d1/(vol*np.sqrt(T))+1) 138 | 139 | def zomma(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^3V/dS^2dvol 140 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 141 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 142 | return np.exp(-q*T)*((stats.norm.pdf(d1)*(d1*d2-1))/(S0*vol**2*np.sqrt(T))) 143 | 144 | def color(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^3V/dS^2dT 145 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 146 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 147 | return -np.exp(-q*T)*(stats.norm.pdf(d1)/(2*S0*T*vol*np.sqrt(T))) 148 | 149 | def ultima(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^3V/dvol^3 150 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 151 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 152 | return (-self.vega(S0, K, vol, r, T, q)/vol**2)*(d1*d2*(1-d1*d2)+d1**2+d2**2) 153 | 154 | def dualDelta(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #dV/dK 155 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 156 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 157 | if self.otype == 'Call': 158 | return -np.exp(-r*T)*stats.norm.cdf(d2) 159 | elif self.otype == 'Put': 160 | return -np.exp(-r*T)*stats.norm.cdf(-d2) 161 | 162 | def dualGamma(self, S0=None, K=None, vol=None, r=None, T=None, q=0): #d^2V/dK^2 163 | S0, K, vol, r, T, q = self.inpcheck(S0, K, vol, r, T, q) 164 | d1, d2 = self.d1d2(S0, K, vol, r, T, q) 165 | return np.exp(-r*T)*(stats.norm.pdf(d2)/(K*vol*np.sqrt(T))) 166 | 167 | #toSweep dictionary with variables to sweep as key and value as (min, max, steps) 168 | def sweep(self, toSweep, toGrab): 169 | inps = {'S0':self.S0, 'K':self.K, 'vol':self.vol, 'r':self.r, 'T':self.T, 'q':self.q} 170 | vectors = dict([(k, np.linspace(toSweep[k][0], toSweep[k][1], toSweep[k][2])) for k in toSweep]) 171 | scalars = dict([(k, inps[k]) for k in inps if k not in vectors]) 172 | if len(toSweep) == 1: 173 | out = np.array(list(vectors.values())) 174 | if len(toSweep) == 2: 175 | out = np.meshgrid(list(vectors.values())[0], list(vectors.values())[1]) 176 | if len(toSweep) == 3: 177 | out = np.meshgrid(list(vectors.values())[0], list(vectors.values())[1], list(vectors.values())[2]) 178 | grids = dict([(k, out[i]) for i, k in enumerate(vectors)]) 179 | combined = {**grids, **scalars} 180 | 181 | data = (combined['S0'], combined['K'], combined['vol'], combined['r'], combined['T'], combined['q']) 182 | out = {} 183 | 184 | if 'price' in toGrab: out['price'] = self.price(*data) 185 | if 'delta' in toGrab: out['delta'] = self.delta(*data) 186 | if 'vega' in toGrab: out['vega'] = self.vega(*data) 187 | if 'theta' in toGrab: out['theta'] = self.theta(*data) 188 | if 'rho' in toGrab: out['rho'] = self.rho(*data) 189 | if 'omega' in toGrab: out['omega'] = self.omega(*data) 190 | if 'gamma' in toGrab: out['gamma'] = self.gamma(*data) 191 | if 'vanna' in toGrab: out['vanna'] = self.vanna(*data) 192 | if 'charm' in toGrab: out['charm'] = self.charm(*data) 193 | if 'vomma' in toGrab: out['vomma'] = self.vomma(*data) 194 | if 'veta' in toGrab: out['veta'] = self.veta(*data) 195 | if 'speed' in toGrab: out['speed'] = self.speed(*data) 196 | if 'zomma' in toGrab: out['zomma'] = self.zomma(*data) 197 | if 'color' in toGrab: out['color'] = self.color(*data) 198 | if 'ultima' in toGrab: out['ultima'] = self.ultima(*data) 199 | if 'dualDelta' in toGrab: out['dualDelta'] = self.dualDelta(*data) 200 | if 'dualGamma' in toGrab: out['dualGamma'] = self.dualGamma(*data) 201 | 202 | return {**combined, **out, **{'ls': self.ls}} 203 | -------------------------------------------------------------------------------- /UI.py: -------------------------------------------------------------------------------- 1 | from PyQt5.QtCore import QDateTime, Qt, QTimer 2 | from PyQt5.QtWidgets import (QApplication, QCheckBox, QComboBox, QDateTimeEdit, 3 | QDial, QDialog, QGridLayout, QGroupBox, QHBoxLayout, QLabel, QLineEdit, 4 | QProgressBar, QPushButton, QRadioButton, QScrollBar, QSizePolicy, 5 | QSlider, QSpinBox, QStyleFactory, QTableWidget, QTabWidget, QTextEdit, 6 | QVBoxLayout, QWidget, QTableWidgetItem, QMessageBox, QFormLayout, QListWidget) 7 | from PyQt5.QtGui import * 8 | 9 | from parula import parula 10 | 11 | import sys 12 | import time 13 | 14 | import numpy as np 15 | 16 | from matplotlib.backends.qt_compat import QtCore, QtWidgets 17 | from matplotlib.backends.backend_qt5agg import ( 18 | FigureCanvas, NavigationToolbar2QT as NavigationToolbar) 19 | from matplotlib.figure import Figure 20 | from matplotlib.colors import LinearSegmentedColormap 21 | 22 | from pricing import option 23 | 24 | class BlackScholesUI(QDialog): 25 | def __init__(self, parent=None): 26 | super(BlackScholesUI, self).__init__(parent) 27 | 28 | self.originalPalette = QApplication.palette() 29 | 30 | self.outputs = ['price', 'delta', 'vega', 'theta', 'rho', 'omega',\ 31 | 'gamma', 'vanna', 'charm', 'vomma', 'veta', 'speed', \ 32 | 'zomma', 'color', 'ultima', 'dualDelta', 'dualGamma'] 33 | 34 | self.optionsList = [] 35 | 36 | self.addOptionSelector() 37 | self.addOptionInputs() 38 | self.greeksView() 39 | self.sweepInput() 40 | self.sweepOutput() 41 | self.optionsDisplay() 42 | self.plotWindow() 43 | 44 | leftLayout = QVBoxLayout() 45 | leftLayout.addWidget(self.optionsSelection) 46 | leftLayout.addWidget(self.optionsInput) 47 | leftLayout.addWidget(self.greeksBox) 48 | 49 | rightLayout = QGridLayout() 50 | rightLayout.addLayout(self.inputBox, 0, 0, 1, 4) 51 | rightLayout.addWidget(self.outputSelectList, 1, 0, 5, 4) 52 | MATLABButton = QPushButton("Export to MATLAB") 53 | rightLayout.addWidget(MATLABButton, 6, 0, 1, 2) 54 | plotButton = QPushButton("Plot Sweep Outputs") 55 | rightLayout.addWidget(plotButton, 6, 2, 1, 2) 56 | plotButton.clicked.connect(self.onPlotSweepButtonClicked) 57 | 58 | bottomLayout = QGridLayout() 59 | bottomLayout.addWidget(self.optionsBox, 0, 0, 2, 4) 60 | 61 | 62 | mainLayout = QGridLayout() 63 | mainLayout.addLayout(leftLayout, 0, 0, 3, 4) 64 | mainLayout.addLayout(rightLayout, 0, 9, 3, -1) 65 | mainLayout.addLayout(bottomLayout, 3, 0, -1, 4) 66 | mainLayout.addWidget(self.plotGroupBox, 0, 4, 3, 5) 67 | 68 | mainLayout.setColumnStretch(0, 1) 69 | mainLayout.setColumnStretch(1, 1) 70 | mainLayout.setColumnStretch(2, 1) 71 | mainLayout.setColumnStretch(3, 2) 72 | mainLayout.setColumnStretch(4, 2) 73 | mainLayout.setColumnStretch(5, 2) 74 | mainLayout.setColumnStretch(6, 1) 75 | mainLayout.setColumnStretch(7, 1) 76 | mainLayout.setColumnStretch(8, 1) 77 | self.setLayout(mainLayout) 78 | 79 | self.setFixedSize(1440, 900) 80 | 81 | self.setWindowTitle("Black-Scholes Calculations") 82 | QApplication.setStyle(QStyleFactory.create('Fusion')) 83 | 84 | def addOptionSelector(self): 85 | self.optionsSelection = QGroupBox() 86 | addOptionButton = QPushButton("Add Option") 87 | addOptionButton.clicked.connect(self.onOptionsAddClicked) 88 | self.optionsTypeBox = QComboBox() 89 | self.optionsTypeBox.addItems(['Long Call', 'Long Put', 'Short Call', 'Short Put']) 90 | 91 | layout = QHBoxLayout() 92 | layout.addWidget(addOptionButton) 93 | layout.addWidget(self.optionsTypeBox) 94 | layout.addStretch(1) 95 | self.optionsSelection.setLayout(layout) 96 | 97 | def onOptionsAddClicked(self): 98 | marketPrice = None 99 | vol = None 100 | K = None 101 | expDay = None 102 | S0 = None 103 | q = 0 104 | r = None 105 | try: 106 | K = float(self.kEdit.text()) 107 | except ValueError: 108 | msgBox = QMessageBox() 109 | msgBox.setIcon(QMessageBox.Information) 110 | msgBox.setWindowTitle("Error") 111 | msgBox.setText("Please Enter a Strike Price") 112 | msgBox.exec_() 113 | try: 114 | expDay = str(self.TEdit.text()) 115 | except ValueError: 116 | msgBox = QMessageBox() 117 | msgBox.setIcon(QMessageBox.Information) 118 | msgBox.setWindowTitle("Error") 119 | msgBox.setText("Please Enter an Expiration") 120 | msgBox.exec_() 121 | try: 122 | S0 = float(self.S0Edit.text()) 123 | except ValueError: 124 | msgBox = QMessageBox() 125 | msgBox.setIcon(QMessageBox.Information) 126 | msgBox.setWindowTitle("Error") 127 | msgBox.setText("Please Enter a Stock Price") 128 | msgBox.exec_() 129 | try: 130 | q = float(self.qEdit.text()) 131 | except ValueError: 132 | msgBox = QMessageBox() 133 | msgBox.setIcon(QMessageBox.Information) 134 | msgBox.setWindowTitle("Error") 135 | msgBox.setText("Please Enter a Dividend Yield") 136 | msgBox.exec_() 137 | try: 138 | r = float(self.rEdit.text()) 139 | except ValueError: 140 | msgBox = QMessageBox() 141 | msgBox.setIcon(QMessageBox.Information) 142 | msgBox.setWindowTitle("Error") 143 | msgBox.setText("Please Enter a Risk Free Rate") 144 | msgBox.exec_() 145 | try: 146 | vol = float(self.volEdit.text()) 147 | except ValueError: 148 | try: 149 | marketPrice = float(self.mpEdit.text()) 150 | except ValueError: 151 | msgBox = QMessageBox() 152 | msgBox.setIcon(QMessageBox.Information) 153 | msgBox.setWindowTitle("Error") 154 | msgBox.setText("Please Enter a Market Price or Volatility") 155 | msgBox.exec_() 156 | 157 | if 'Long' in self.optionsTypeBox.currentText(): 158 | ls = 'Long' 159 | elif 'Short' in self.optionsTypeBox.currentText(): 160 | ls = 'Short' 161 | if 'Call' in self.optionsTypeBox.currentText(): 162 | otype = 'Call' 163 | elif 'Put' in self.optionsTypeBox.currentText(): 164 | otype = 'Put' 165 | 166 | if K and expDay and S0 and (q is not None) and r and (vol or marketPrice): 167 | if marketPrice is None: 168 | opt = option(otype=otype, K=K, expDay=expDay, S0=S0, vol=vol, q=q, r=r, ls=ls) 169 | elif vol is None: 170 | opt = option(otype=otype, K=K, expDay=expDay, S0=S0, marketPrice=marketPrice, q=q, r=r, ls=ls) 171 | self.optionsList.append(opt) 172 | self.updateOptionsDisplay() 173 | 174 | 175 | def updateOptionsDisplay(self): 176 | for i, opt in enumerate(self.optionsList): 177 | self.optionsTable.setItem(i+1, 0, QTableWidgetItem(opt.ls + ' ' + opt.otype)) 178 | self.optionsTable.setItem(i+1, 1, QTableWidgetItem(str(opt.K))) 179 | self.optionsTable.setItem(i+1, 2, QTableWidgetItem(opt.expDayStr)) 180 | self.optionsTable.setItem(i+1, 3, QTableWidgetItem(str(opt.S0))) 181 | 182 | def addOptionInputs(self): 183 | self.optionsInput = QGroupBox('Option Inputs') 184 | 185 | kLabel = QLabel("&Strike:") 186 | self.kEdit = QLineEdit() 187 | kLabel.setBuddy(self.kEdit) 188 | 189 | TLabel = QLabel("&Expiration Date (YYYY-MM-DD):") 190 | self.TEdit = QLineEdit() 191 | TLabel.setBuddy(self.TEdit) 192 | 193 | S0Label = QLabel("&Underlying Price:") 194 | self.S0Edit = QLineEdit() 195 | S0Label.setBuddy(self.S0Edit) 196 | 197 | volLabel = QLabel("&Volatility:") 198 | self.volEdit = QLineEdit() 199 | volLabel.setBuddy(self.volEdit) 200 | 201 | mpLabel = QLabel("&Option Market Price:") 202 | self.mpEdit = QLineEdit() 203 | mpLabel.setBuddy(self.mpEdit) 204 | 205 | qLabel = QLabel("&Dividend Yield:") 206 | self.qEdit = QLineEdit() 207 | qLabel.setBuddy(self.qEdit) 208 | 209 | rLabel = QLabel("&Risk Free Rate:") 210 | self.rEdit = QLineEdit() 211 | rLabel.setBuddy(self.rEdit) 212 | 213 | layout = QFormLayout() 214 | layout.addRow(kLabel, self.kEdit) 215 | layout.addRow(TLabel, self.TEdit) 216 | layout.addRow(S0Label, self.S0Edit) 217 | layout.addRow(volLabel, self.volEdit) 218 | layout.addRow(mpLabel, self.mpEdit) 219 | layout.addRow(qLabel, self.qEdit) 220 | layout.addRow(rLabel, self.rEdit) 221 | 222 | self.optionsInput.setLayout(layout) 223 | 224 | def greeksView(self): 225 | self.greeksBox = QGroupBox("Option Info") 226 | self.greeksTable = QTableWidget(11, 4) 227 | self.greeksTable.setItem(0, 0, QTableWidgetItem('Market Price')) 228 | self.greeksTable.setItem(1, 0, QTableWidgetItem('Volatility')) 229 | self.greeksTable.setItem(2, 0, QTableWidgetItem('Years To Expiration')) 230 | self.greeksTable.setItem(3, 0, QTableWidgetItem('Dividend Yield')) 231 | self.greeksTable.setItem(4, 0, QTableWidgetItem('Risk Free Rate')) 232 | self.greeksTable.setItem(5, 0, QTableWidgetItem('Delta')) 233 | self.greeksTable.setItem(6, 0, QTableWidgetItem('Vega')) 234 | self.greeksTable.setItem(7, 0, QTableWidgetItem('Theta')) 235 | self.greeksTable.setItem(8, 0, QTableWidgetItem('Rho')) 236 | self.greeksTable.setItem(9, 0, QTableWidgetItem('Omega')) 237 | self.greeksTable.setItem(10, 0, QTableWidgetItem('Gamma')) 238 | self.greeksTable.setItem(0, 2, QTableWidgetItem('Vanna')) 239 | self.greeksTable.setItem(1, 2, QTableWidgetItem('Charm')) 240 | self.greeksTable.setItem(2, 2, QTableWidgetItem('Vomma')) 241 | self.greeksTable.setItem(3, 2, QTableWidgetItem('Veta')) 242 | self.greeksTable.setItem(4, 2, QTableWidgetItem('Speed')) 243 | self.greeksTable.setItem(5, 2, QTableWidgetItem('Zomma')) 244 | self.greeksTable.setItem(6, 2, QTableWidgetItem('Color')) 245 | self.greeksTable.setItem(7, 2, QTableWidgetItem('Ultima')) 246 | self.greeksTable.setItem(8, 2, QTableWidgetItem('Dual Delta')) 247 | self.greeksTable.setItem(9, 2, QTableWidgetItem('Dual Gamma')) 248 | 249 | 250 | layout = QHBoxLayout() 251 | layout.setContentsMargins(5, 5, 5, 5) 252 | layout.addWidget(self.greeksTable) 253 | self.greeksBox.setLayout(layout) 254 | 255 | def plotWindow(self): 256 | self.plotGroupBox = QTabWidget() 257 | self.plotGroupBox.setSizePolicy(QSizePolicy.Preferred, 258 | QSizePolicy.Ignored) 259 | 260 | self.tab1 = FigureCanvas(Figure(figsize=(4, 8))) 261 | self.plot1ax = self.tab1.figure.add_subplot(111) 262 | 263 | self.tab2 = FigureCanvas(Figure(figsize=(4, 8))) 264 | self.plot2ax = self.tab2.figure.add_subplot(111) 265 | 266 | 267 | self.plotGroupBox.addTab(self.tab1, "&Time Evolution of Value") 268 | self.plotGroupBox.addTab(self.tab2, "&Sweep Results") 269 | #self.plotGroupBox.addTab(tab3, "&Profit Calculator") 270 | #self.plotGroupBox.addTab(tab4, "&Delta Hedging") 271 | 272 | def optionsDisplay(self): 273 | self.optionsBox = QGroupBox("Options") 274 | self.optionsTable = QTableWidget(10, 4) 275 | self.optionsTable.setItem(0, 0, QTableWidgetItem('Option Type')) 276 | self.optionsTable.setItem(0, 1, QTableWidgetItem('Strike')) 277 | self.optionsTable.setItem(0, 2, QTableWidgetItem('Expiration')) 278 | self.optionsTable.setItem(0, 3, QTableWidgetItem('Underlying Price')) 279 | self.optionsTable.setSelectionMode(2) 280 | self.optionsTable.cellClicked.connect(self.onOptionTableClicked) 281 | 282 | layout = QHBoxLayout() 283 | layout.setContentsMargins(1, 1, 1, 1) 284 | layout.addWidget(self.optionsTable) 285 | self.optionsBox.setLayout(layout) 286 | 287 | def onOptionTableClicked(self, row, column): 288 | self.selected = self.optionsTable.selectedItems() 289 | fulltime = [] 290 | halftime = [] 291 | expiry = [] 292 | usedRows = [] 293 | for item in self.selected: 294 | if item.row() != 0 and item.row()<=len(self.optionsList) and item.row() not in usedRows: 295 | usedRows.append(item.row()) 296 | opt = self.optionsList[item.row()-1] 297 | self.greeksTable.setItem(0, 1, QTableWidgetItem(str(opt.marketPrice))) 298 | self.greeksTable.setItem(1, 1, QTableWidgetItem(str(opt.vol))) 299 | self.greeksTable.setItem(2, 1, QTableWidgetItem(str(opt.T))) 300 | self.greeksTable.setItem(3, 1, QTableWidgetItem(str(opt.q))) 301 | self.greeksTable.setItem(4, 1, QTableWidgetItem(str(opt.r))) 302 | self.greeksTable.setItem(5, 1, QTableWidgetItem(str(opt.delta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 303 | self.greeksTable.setItem(6, 1, QTableWidgetItem(str(opt.vega(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 304 | self.greeksTable.setItem(7, 1, QTableWidgetItem(str(opt.theta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 305 | self.greeksTable.setItem(8, 1, QTableWidgetItem(str(opt.rho(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 306 | self.greeksTable.setItem(9, 1, QTableWidgetItem(str(opt.omega(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 307 | self.greeksTable.setItem(10, 1, QTableWidgetItem(str(opt.gamma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 308 | self.greeksTable.setItem(0, 3, QTableWidgetItem(str(opt.vanna(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 309 | self.greeksTable.setItem(1, 3, QTableWidgetItem(str(opt.charm(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 310 | self.greeksTable.setItem(2, 3, QTableWidgetItem(str(opt.vomma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 311 | self.greeksTable.setItem(3, 3, QTableWidgetItem(str(opt.veta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 312 | self.greeksTable.setItem(4, 3, QTableWidgetItem(str(opt.speed(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 313 | self.greeksTable.setItem(5, 3, QTableWidgetItem(str(opt.zomma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 314 | self.greeksTable.setItem(6, 3, QTableWidgetItem(str(opt.color(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 315 | self.greeksTable.setItem(7, 3, QTableWidgetItem(str(opt.ultima(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 316 | self.greeksTable.setItem(8, 3, QTableWidgetItem(str(opt.dualDelta(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 317 | self.greeksTable.setItem(9, 3, QTableWidgetItem(str(opt.dualGamma(S0=opt.S0, K=opt.K, vol=opt.vol, r=opt.r, T=opt.T, q=opt.q)))) 318 | 319 | self.plot1ax.clear() 320 | toSweep = {'S0' : (opt.S0*0.8, opt.S0*1.2, 50)} 321 | toGrab = ('price') 322 | fulltime.append(opt.sweep(toSweep, toGrab)) 323 | self.plot1ax.plot(fulltime[0]['S0'], self.sumprice(fulltime), label='Now') 324 | saveT = opt.T 325 | opt.T /= 2 326 | halftime.append(opt.sweep(toSweep, toGrab)) 327 | self.plot1ax.plot(halftime[0]['S0'], self.sumprice(halftime), label='Half Time') 328 | opt.T = 1e-6 329 | expiry.append(opt.sweep(toSweep, toGrab)) 330 | opt.T = saveT 331 | self.plot1ax.plot(expiry[0]['S0'], self.sumprice(expiry), label='Expiration') 332 | self.plot1ax.set_xlabel('Stock Price') 333 | self.plot1ax.set_ylabel('Option Price') 334 | self.plot1ax.legend() 335 | self.tab1.draw() 336 | 337 | def sumprice(self, outs): 338 | for i in range(len(outs)): 339 | outs[i]['price']=np.array(outs[i]['price']) 340 | if i == 0: 341 | if outs[0]['ls'] == 'Long': 342 | price=outs[0]['price'] 343 | elif outs[0]['ls'] == 'Short': 344 | price= -outs[0]['price'] 345 | else: 346 | if outs[i]['ls'] == 'Long': 347 | price+=outs[i]['price'] 348 | elif outs[i]['ls'] == 'Short': 349 | price-=outs[i]['price'] 350 | return price 351 | 352 | def sweepInput(self): 353 | self.sweepBox = QGroupBox("Sweep Variables") 354 | 355 | toSweepLabel = QLabel("Inputs to Sweep") 356 | minLabel = QLabel("Min") 357 | maxLabel = QLabel("Max") 358 | stepsLabel = QLabel("Steps") 359 | inputs = ['None', 'Stock Price', 'Years to Expiration', 'Volatility', 'Dividend Yield', 'Risk Free Rate'] 360 | self.inputSelect1 = QComboBox() 361 | self.inputSelect1.addItems(inputs) 362 | self.inputSelect2 = QComboBox() 363 | self.inputSelect2.addItems(inputs) 364 | self.min1 = QLineEdit() 365 | self.min2 = QLineEdit() 366 | self.max1 = QLineEdit() 367 | self.max2 = QLineEdit() 368 | self.steps1 = QLineEdit() 369 | self.steps2 = QLineEdit() 370 | 371 | self.inputBox = QGridLayout() 372 | self.inputBox.addWidget(toSweepLabel, 0, 0, 1, 1) 373 | self.inputBox.addWidget(minLabel, 0, 1, 1, 2) 374 | self.inputBox.addWidget(maxLabel, 0, 2, 1, 3) 375 | self.inputBox.addWidget(stepsLabel, 0, 3, 1, 4) 376 | self.inputBox.addWidget(self.inputSelect1, 1, 0, 2, 1) 377 | self.inputBox.addWidget(self.inputSelect2, 2, 0, 3, 1) 378 | self.inputBox.addWidget(self.min1, 1, 1, 2, 2) 379 | self.inputBox.addWidget(self.min2, 2, 1, 3, 2) 380 | self.inputBox.addWidget(self.max1, 1, 2, 2, 3) 381 | self.inputBox.addWidget(self.max2, 2, 2, 3, 3) 382 | self.inputBox.addWidget(self.steps1, 1, 3, 2, 4) 383 | self.inputBox.addWidget(self.steps2, 2, 3, 3, 4) 384 | 385 | def sweepOutput(self): 386 | self.outputSelectList = QListWidget() 387 | 388 | for i, out in enumerate(self.outputs): 389 | self.outputSelectList.insertItem(i, out) 390 | 391 | self.outputSelectList.setSelectionMode(1) 392 | 393 | def onPlotSweepButtonClicked(self): 394 | toSweep = {} 395 | if len(self.outputSelectList.selectedItems()) < 1: 396 | msgBox = QMessageBox() 397 | msgBox.setIcon(QMessageBox.Information) 398 | msgBox.setWindowTitle("Error") 399 | msgBox.setText("Select At Least One Output") 400 | msgBox.exec_() 401 | return 402 | toGrab = self.outputSelectList.selectedItems() 403 | toGrab = [str(g.text()) for g in toGrab] 404 | if str(self.inputSelect1.currentText()) == 'Stock Price': is1 = 'S0' 405 | if str(self.inputSelect1.currentText()) =='Years to Expiration': is1 = 'T' 406 | if str(self.inputSelect1.currentText()) =='Volatility': is1 = 'vol' 407 | if str(self.inputSelect1.currentText()) =='Dividend Yield': is1 = 'q' 408 | if str(self.inputSelect1.currentText()) =='Risk Free Rate': is1 = 'r' 409 | if str(self.inputSelect2.currentText()) == 'Stock Price': is2 = 'S0' 410 | if str(self.inputSelect2.currentText()) =='Years to Expiration': is2 = 'T' 411 | if str(self.inputSelect2.currentText()) =='Volatility': is2 = 'vol' 412 | if str(self.inputSelect2.currentText()) =='Dividend Yield': is2 = 'q' 413 | if str(self.inputSelect2.currentText()) =='Risk Free Rate': is2 = 'r' 414 | if str(self.inputSelect1.currentText()) != 'None' and bool(self.min1.text()) and bool(self.max1.text()) and bool(self.steps1.text()): 415 | min1 = float(self.min1.text()) 416 | max1 = float(self.max1.text()) 417 | steps1 = int(self.steps1.text()) 418 | toSweep[is1] = (min1, max1, steps1) 419 | if str(self.inputSelect2.currentText()) != 'None' and bool(self.min2.text()) and bool(self.max2.text()) and bool(self.steps2.text()): 420 | min2 = float(self.min2.text()) 421 | max2 = float(self.max2.text()) 422 | steps2 = int(self.steps2.text()) 423 | toSweep[is2] = (min2, max2, steps2) 424 | if len(toSweep) == 0: 425 | msgBox = QMessageBox() 426 | msgBox.setIcon(QMessageBox.Information) 427 | msgBox.setWindowTitle("Error") 428 | msgBox.setText("Select At Least One Input") 429 | msgBox.exec_() 430 | return 431 | if len(self.selected) > 1 and toGrab[0] != 'price' or len(self.selected) > 1 and len(toGrab) > 1: 432 | msgBox = QMessageBox() 433 | msgBox.setIcon(QMessageBox.Information) 434 | msgBox.setWindowTitle("Error") 435 | msgBox.setText("Output Must be Only Price if More than One Option Selected") 436 | msgBox.exec_() 437 | return 438 | 439 | if len(toSweep) == 1: 440 | out = [] 441 | usedRows = [] 442 | self.tab2.figure.clf() 443 | self.plot2ax = self.tab2.figure.add_subplot(111) 444 | if len(self.selected) > 1: 445 | for item in self.selected: 446 | if item.row() != 0 and item.row()<=len(self.optionsList) and item.row() not in usedRows: 447 | opt = self.optionsList[item.row()-1] 448 | usedRows.append(item.row()) 449 | out.append(opt.sweep(toSweep, toGrab)) 450 | self.plot2ax.clear() 451 | self.plot2ax.plot(out[0][is1], self.sumprice(out)) 452 | self.plot2ax.set_xlabel(str(self.inputSelect1.currentText())) 453 | self.plot2ax.set_ylabel(str(toGrab[0])) 454 | self.tab2.draw() 455 | else: 456 | for item in self.selected: 457 | if item.row() != 0 and item.row()<=len(self.optionsList): 458 | opt = self.optionsList[item.row()-1] 459 | out = opt.sweep(toSweep, toGrab) 460 | self.plot2ax.clear() 461 | self.plot2ax.plot(out[is1], out[toGrab[0]]) 462 | self.plot2ax.set_xlabel(str(self.inputSelect1.currentText())) 463 | self.plot2ax.set_ylabel(str(toGrab[0])) 464 | self.tab2.draw() 465 | elif len(toSweep) == 2: 466 | parula_map = LinearSegmentedColormap.from_list('parula', parula()) 467 | out = [] 468 | usedRows = [] 469 | self.tab2.figure.clf() 470 | self.plot2ax = self.tab2.figure.add_subplot(111, projection='3d') 471 | if len(self.selected) > 1: 472 | for item in self.selected: 473 | if item.row() != 0 and item.row()<=len(self.optionsList) and item.row() not in usedRows: 474 | opt = self.optionsList[item.row()-1] 475 | usedRows.append(item.row()) 476 | out.append(opt.sweep(toSweep, toGrab)) 477 | self.plot2ax.clear() 478 | self.plot2ax.plot_surface(out[0][is1], out[0][is2], self.sumprice(out), cmap=parula_map) 479 | self.plot2ax.set_xlabel(str(self.inputSelect1.currentText())) 480 | self.plot2ax.set_ylabel(str(self.inputSelect2.currentText())) 481 | self.plot2ax.set_zlabel(str(toGrab[0])) 482 | self.tab2.draw() 483 | else: 484 | for item in self.selected: 485 | if item.row() != 0 and item.row()<=len(self.optionsList): 486 | opt = self.optionsList[item.row()-1] 487 | out = opt.sweep(toSweep, toGrab) 488 | self.plot2ax.clear() 489 | self.plot2ax.plot_surface(out[is1], out[is2], out[toGrab[0]], cmap=parula_map) 490 | self.plot2ax.set_xlabel(str(self.inputSelect1.currentText())) 491 | self.plot2ax.set_ylabel(str(self.inputSelect2.currentText())) 492 | self.plot2ax.set_zlabel(str(toGrab[0])) 493 | self.tab2.draw() 494 | 495 | 496 | 497 | if __name__ == '__main__': 498 | 499 | import sys 500 | 501 | app = QApplication(sys.argv) 502 | gallery = BlackScholesUI() 503 | gallery.show() 504 | sys.exit(app.exec_()) -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 3, 29 June 2007 3 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No Surrender of Others' Freedom. 541 | 542 | If conditions are imposed on you (whether by court order, agreement or 543 | otherwise) that contradict the conditions of this License, they do not 544 | excuse you from the conditions of this License. If you cannot convey a 545 | covered work so as to satisfy simultaneously your obligations under this 546 | License and any other pertinent obligations, then as a consequence you may 547 | not convey it at all. For example, if you agree to terms that obligate you 548 | to collect a royalty for further conveying from those to whom you convey 549 | the Program, the only way you could satisfy both those terms and this 550 | License would be to refrain entirely from conveying the Program. 551 | 552 | 13. Use with the GNU Affero General Public License. 553 | 554 | Notwithstanding any other provision of this License, you have 555 | permission to link or combine any covered work with a work licensed 556 | under version 3 of the GNU Affero General Public License into a single 557 | combined work, and to convey the resulting work. The terms of this 558 | License will continue to apply to the part which is the covered work, 559 | but the special requirements of the GNU Affero General Public License, 560 | section 13, concerning interaction through a network will apply to the 561 | combination as such. 562 | 563 | 14. Revised Versions of this License. 564 | 565 | The Free Software Foundation may publish revised and/or new versions of 566 | the GNU General Public License from time to time. Such new versions will 567 | be similar in spirit to the present version, but may differ in detail to 568 | address new problems or concerns. 569 | 570 | Each version is given a distinguishing version number. If the 571 | Program specifies that a certain numbered version of the GNU General 572 | Public License "or any later version" applies to it, you have the 573 | option of following the terms and conditions either of that numbered 574 | version or of any later version published by the Free Software 575 | Foundation. If the Program does not specify a version number of the 576 | GNU General Public License, you may choose any version ever published 577 | by the Free Software Foundation. 578 | 579 | If the Program specifies that a proxy can decide which future 580 | versions of the GNU General Public License can be used, that proxy's 581 | public statement of acceptance of a version permanently authorizes you 582 | to choose that version for the Program. 583 | 584 | Later license versions may give you additional or different 585 | permissions. However, no additional obligations are imposed on any 586 | author or copyright holder as a result of your choosing to follow a 587 | later version. 588 | 589 | 15. Disclaimer of Warranty. 590 | 591 | THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY 592 | APPLICABLE LAW. EXCEPT WHEN OTHERWISE STATED IN WRITING THE COPYRIGHT 593 | HOLDERS AND/OR OTHER PARTIES PROVIDE THE PROGRAM "AS IS" WITHOUT WARRANTY 594 | OF ANY KIND, EITHER EXPRESSED OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, 595 | THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR 596 | PURPOSE. THE ENTIRE RISK AS TO THE QUALITY AND PERFORMANCE OF THE PROGRAM 597 | IS WITH YOU. SHOULD THE PROGRAM PROVE DEFECTIVE, YOU ASSUME THE COST OF 598 | ALL NECESSARY SERVICING, REPAIR OR CORRECTION. 599 | 600 | 16. Limitation of Liability. 601 | 602 | IN NO EVENT UNLESS REQUIRED BY APPLICABLE LAW OR AGREED TO IN WRITING 603 | WILL ANY COPYRIGHT HOLDER, OR ANY OTHER PARTY WHO MODIFIES AND/OR CONVEYS 604 | THE PROGRAM AS PERMITTED ABOVE, BE LIABLE TO YOU FOR DAMAGES, INCLUDING ANY 605 | GENERAL, SPECIAL, INCIDENTAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF THE 606 | USE OR INABILITY TO USE THE PROGRAM (INCLUDING BUT NOT LIMITED TO LOSS OF 607 | DATA OR DATA BEING RENDERED INACCURATE OR LOSSES SUSTAINED BY YOU OR THIRD 608 | PARTIES OR A FAILURE OF THE PROGRAM TO OPERATE WITH ANY OTHER PROGRAMS), 609 | EVEN IF SUCH HOLDER OR OTHER PARTY HAS BEEN ADVISED OF THE POSSIBILITY OF 610 | SUCH DAMAGES. 611 | 612 | 17. Interpretation of Sections 15 and 16. 613 | 614 | If the disclaimer of warranty and limitation of liability provided 615 | above cannot be given local legal effect according to their terms, 616 | reviewing courts shall apply local law that most closely approximates 617 | an absolute waiver of all civil liability in connection with the 618 | Program, unless a warranty or assumption of liability accompanies a 619 | copy of the Program in return for a fee. 620 | 621 | END OF TERMS AND CONDITIONS 622 | 623 | How to Apply These Terms to Your New Programs 624 | 625 | If you develop a new program, and you want it to be of the greatest 626 | possible use to the public, the best way to achieve this is to make it 627 | free software which everyone can redistribute and change under these terms. 628 | 629 | To do so, attach the following notices to the program. It is safest 630 | to attach them to the start of each source file to most effectively 631 | state the exclusion of warranty; and each file should have at least 632 | the "copyright" line and a pointer to where the full notice is found. 633 | 634 | 635 | Copyright (C) 636 | 637 | This program is free software: you can redistribute it and/or modify 638 | it under the terms of the GNU General Public License as published by 639 | the Free Software Foundation, either version 3 of the License, or 640 | (at your option) any later version. 641 | 642 | This program is distributed in the hope that it will be useful, 643 | but WITHOUT ANY WARRANTY; without even the implied warranty of 644 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 645 | GNU General Public License for more details. 646 | 647 | You should have received a copy of the GNU General Public License 648 | along with this program. If not, see . 649 | 650 | Also add information on how to contact you by electronic and paper mail. 651 | 652 | If the program does terminal interaction, make it output a short 653 | notice like this when it starts in an interactive mode: 654 | 655 | Copyright (C) 656 | This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. 657 | This is free software, and you are welcome to redistribute it 658 | under certain conditions; type `show c' for details. 659 | 660 | The hypothetical commands `show w' and `show c' should show the appropriate 661 | parts of the General Public License. Of course, your program's commands 662 | might be different; for a GUI interface, you would use an "about box". 663 | 664 | You should also get your employer (if you work as a programmer) or school, 665 | if any, to sign a "copyright disclaimer" for the program, if necessary. 666 | For more information on this, and how to apply and follow the GNU GPL, see 667 | . 668 | 669 | The GNU General Public License does not permit incorporating your program 670 | into proprietary programs. If your program is a subroutine library, you 671 | may consider it more useful to permit linking proprietary applications with 672 | the library. If this is what you want to do, use the GNU Lesser General 673 | Public License instead of this License. But first, please read 674 | . 675 | --------------------------------------------------------------------------------