MibianLib is an options pricing library offering the ability to calculate the price, the implied volatility, the Greeks or the put-call parity of an option using the Garman-Kohlhagen, Black-Scholes, and Merton models.
|Tags||Open Source options Finance pricing Library Financial|
|Operating Systems||Linux Windows Mac OS X all|
|Implementation||Python Python 2.7|
Release Notes: This release added the possibility to get the implied volatility from both the call price and the put price.
Release Notes: Enhanced performance.
Release Notes: Theta function was added for Black-Scholes and Garman-Kohlhagen models.
Release Notes: Gamma, Vega, Rho, and Put-Call Parity functions were added for Black-Scholes and Garman-Kohlhagen models.
Release Notes: This release has a delta function for the Black-Scholes model and a dual delta function for the Garman-Kohlhagen and Black-Scholes models.