black-scholes-bonanza v1.0.1

black-scholes-bonanza

A library to deal with options and option strategies

Install

npm i black-scholes-bonanza

Features

Useful payoff calculations and pricing including greeks, all computed using the Black-Scholes model.

Options

• Vanilla options
• Digital options

Strategies

• Straddle
• Strangle
• Spreads
• Risk Reversal
• Butterfly

Example

const vol = 0.8; // implied volatility
const rate = 0.1; // interest rate
const time = 0.5; // time to expiry
const strike = 90; // strike price
const isCall = true; // call or put option
const spot = 100; // current spot price

const opt = new VanillaOption(vol, rate, time, strike, isCall);

opt.getPayoff(spot); // 10

opt.getPrice(spot); // 28.61

opt.getDelta(spot); // 0.74
opt.getGamma(spot); // 0.01
opt.getVega(spot); // 24.15
opt.getTheta(spot); // 23.57
opt.getRho(spot); // 21.26