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Initial Author

Dan Tylenda-Emmons Twitter: @CoderTrader Email: [email protected]

Options Library

A pure Ruby implementation of the classic Black-Scholes option model for pricing Calls or Puts.

Goals

  • Provide the Open Source Ruby, JRuby and StockTwits communities with a publicly available model for computing option prices.
  • Allow users of the library to compute price and greeks: delta, gamma, theta, vega and rho.
  • To aid others in the understanding of how price and sensitivities to other factors are computed on a theoretical basis.
  • To allo users of the library to extend or contribute back to the project so that it may be improved upon.

Installation

gem install options_library

Usage

require 'rubygems'
require 'options_library'

call = Option::Call.new
call.underlying = 95.40  # spot price of the underlying
call.strike = 90.00  # strike price of option
call.time = 0.015 # time in years
call.interest = 0.01 # equates to 1% risk free interest
call.sigma = 0.4875  # equates to 48.75% volatility
call.dividend = 0.0  # no annual dividend yield

price = call.calc_price # theoretical value of the option
delta = call.calc_delta # option price sensitivity to a change in underlying price
gamma = call.calc_gamma # option delta sensitivity to a change in underlying price
vega  = call.calc_vega  # option price sensitivity to a change in sigma (volatility)

implied_vol = call.calc_implied_vol( 1.80 ) # implied volatility based on the target price 

# Or go straight at the Calculator methods
# Option::Calculator.price_call( underlying, strike, time, interest, sigma, dividend )
call_price = Option::Calculator.price_call( 94.5, 90.5, 0.015, 0.01, 0.4875, 0.0 )

Testing

To run the tests:

$ rake

To add tests see the Commands section earlier in this README.

Contributing

  1. Fork it.
  2. Create a branch (git checkout -b my_options_library)
  3. Commit your changes (git commit -am "Added Hull-White Model")
  4. Push to the branch (git push origin my_options_library)
  5. Create an Issue with a link to your branch
  6. Enjoy a fresh cup of coffee and wait