From 8af0e14de82cda3ea05446b5945e5fbc5fbf8732 Mon Sep 17 00:00:00 2001
From: unknown <abhijith.chandradas@gmail.com>
Date: Tue, 29 Jun 2021 21:56:35 +0100
Subject: [PATCH] Black-Scholes and greeks

---
 .gitignore              |   3 ++
 opstrat/__init__.py     |   3 +-
 opstrat/blackscholes.py | 103 ++++++++++++++++++++++++++++++++++++++++
 requirements.txt        |   5 ++
 setup.py                |  29 +----------
 5 files changed, 114 insertions(+), 29 deletions(-)
 create mode 100644 opstrat/blackscholes.py
 create mode 100644 requirements.txt

diff --git a/.gitignore b/.gitignore
index 5e968d2..6a41db9 100644
--- a/.gitignore
+++ b/.gitignore
@@ -6,6 +6,9 @@ __pycache__/
 # C extensions
 *.so
 
+#VS Code
+.vscode/
+
 # Distribution / packaging
 .Python
 env/
diff --git a/opstrat/__init__.py b/opstrat/__init__.py
index c59636e..4e1e81a 100644
--- a/opstrat/__init__.py
+++ b/opstrat/__init__.py
@@ -1,6 +1,7 @@
-__version__ = "0.1.2"
+__version__ = "0.1.3"
 __author__ = "Abhijith Chandradas"
 
 from .basic_multi import *
 from .basic_single import *
 from .yf import *
+from .blackscholes import black_scholes
diff --git a/opstrat/blackscholes.py b/opstrat/blackscholes.py
new file mode 100644
index 0000000..bd659e7
--- /dev/null
+++ b/opstrat/blackscholes.py
@@ -0,0 +1,103 @@
+import numpy as np
+from scipy.stats import norm
+
+
+def black_scholes(t=40, r=4.00, v=32.00, K=60, St=62, type='c'):
+    """
+    Parameters:
+    K : Excercise Price
+    St: Current Stock Price
+    v : Volatility in percentage
+    r : Risk free rate in percentage
+    t : Time to expiration in days
+    type: Type of option 'c' for call 'p' for put
+    default: 'c'
+    """
+    # if type = 'c' or 'C' call option else put option
+    try:
+        type=type.lower()
+        if(type=='c'):
+            option_type='call'
+        else:
+            option_type='put'
+    except:
+        option_type='put'
+
+    #Check time 
+    try:
+        #convert time in days to years
+        t=t/365
+    except:
+        raise TypeError("Enter numerical value for time")
+
+    #Check risk free rate 
+    try:
+        #convert percentage to decimal
+        r=r/100
+    except:
+        raise TypeError("Enter numerical value for risk free rate")
+    
+    #Check volatility
+    try:
+        #convert percentage to decimal
+        v=v/100
+    except:
+        raise TypeError("Enter numerical value for volatility")  
+
+    #Check Stock Price
+    try:
+        St=St+0
+    except:
+        raise TypeError("Enter numerical value for stock price")
+    
+    #Check Exercise Price
+    try:
+        K=K+0
+    except:
+        raise TypeError("Enter numerical value for Exercise price")    
+    
+    n1=np.log(St/K)
+    n2=(r+(np.power(v,2)/2))*t
+    d=v*(np.sqrt(t))
+
+    d1=(n1+n2)/d
+    d2=d1-(v*np.sqrt(t))
+
+    if type=='c':
+        N_d1=norm.cdf(d1)
+        N_d2=norm.cdf(d2)
+    else:
+        N_d1=norm.cdf(-d1)
+        N_d2=norm.cdf(-d2)
+
+    A=(St*N_d1)
+    B=(K*N_d2*(np.exp(-r*t)))
+
+    if type=='c':
+        val=A-B
+        val_int=max(0,St-K)
+    else:
+        val=B-A
+        val_int=max(0,K-St)
+    val_time=val-val_int
+
+    # Option values in dictionary
+    value={'option value':val, 'intrinsic value':val_int, 'time value':val_time}
+
+    #CALCULATE OPTION GREEKS
+    if type=='c':
+        delta=N_d1
+        theta=(-((St*v*np.exp(-np.power(d1,2)/2))/(np.sqrt(8*np.pi*t)))-(N_d2*r*K*np.exp(-r*t)))/365
+        rho=t*K*N_d2*np.exp(-r*t)/100
+    else:
+        delta=-N_d1
+        theta=(-((St*v*np.exp(-np.power(d1,2)/2))/(np.sqrt(8*np.pi*t)))+(N_d2*r*K*np.exp(-r*t)))/365
+        rho=-t*K*N_d2*np.exp(-r*t)/100
+
+    gamma=(np.exp(-np.power(d1,2)/2))/(St*v*np.sqrt(2*np.pi*t))
+    vega=(St*np.sqrt(t)*np.exp(-np.power(d1,2)/2))/(np.sqrt(2*np.pi)*100)
+    
+    #Option greeks in Dictionary
+    greeks={'delta':delta, 'gamma':gamma, 'theta':theta, 'vega':vega, 'rho':rho}
+
+    return {'value':value, 'greeks':greeks}
\ No newline at end of file
diff --git a/requirements.txt b/requirements.txt
new file mode 100644
index 0000000..88db858
--- /dev/null
+++ b/requirements.txt
@@ -0,0 +1,5 @@
+matplotlib==3.4.2
+numpy==1.21.0
+pandas==1.2.5
+seaborn==0.11.1
+yfinance==0.1.59  
\ No newline at end of file
diff --git a/setup.py b/setup.py
index 3be2941..391293f 100644
--- a/setup.py
+++ b/setup.py
@@ -7,34 +7,7 @@
     README = readme_file.read()
 
 
-'''  
-here = os.path.abspath(os.path.dirname(__file__))
-
-with open(os.path.join(here, 'README.md'), encoding='utf-8') as f:
-    long_description = f.read()
-'''
-
-'''
-try:
-    long_description = pypandoc.convert('README.md', 'rst')
-    long_description = long_description.replace("\r","") # Do not forget this line
-except OSError:
-    print("Pandoc not found. Long_description conversion failure.")
-    import io
-    # pandoc is not installed, fallback to using raw contents
-    with io.open('README.md', encoding="utf-8") as f:
-        long_description = f.read()
-'''
-        
-'''
-try:
-    import pypandoc
-    long_description = pypandoc.convert('README.md', 'rst')
-except(IOError, ImportError):
-    long_description = open('README.md').read()
-'''
-
-VERSION = '0.1.2'
+VERSION = '0.1.3'
 DESCRIPTION = 'Option stategy visualizer'
 #LONG_DESCRIPTION = DESCRIPTION
 URL = 'https://github.com/abhijith-git/opstrat'