py_vollib_vectorized

Unverified Other strategy on Multi by marcdemers. BotFinder score 18 out of 100.

A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.

Source: github

Explorer/Multi/py_vollib_vectorized
18
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py_vollib_vectorized

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py_vollib_vectorized

pyvollibvectorized Introduction The pyvollibvectorized package makes pricing thousands of option contracts and calculating greeks fast and effortless. It is built on top of the pyvollib library. Upon import, it will automatically patch the corresponding pyvollib functions so as to support vectorization. Inputs can then be passed as floats, tuples, lists, numpy.array, or pandas.Series. Automatic broadcasting is performed on the inputs. On top of vectorization, modifications to pyvollib include additional numba speedups; as such, numba is required. These speedups make pyvollibvectorized the fastest library for pricing option contracts. See the documentation for more details. Installation pip install pyvollibvectorized Requirements Written for Python 3.5+ Requires pyvollib, numba, numpy, pandas, scipy Code samples The library can be used in two ways. Upon import, it monkey-patches (i.e. replaces) the corresponding functions in pyvollib. As a more versatile alternative, users that would prefer to work with a dedicated option pricing API can make use of the utility functions provided by t

PythonMITOpen-sourcefinancefinance-applicationgreeksimplied-volatilitypandaspy-vollibspeedupstrading
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marcdemers
Since 2019 · 1 bots

Open-source maintainer on GitHub.

Trust 0Profile
Score & reliability18/100
Perf data0/35
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Evidence8/20
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Source facts
Stars162
Forks40
Open issues20
LanguagePython
LicenseMIT
Last update2024-12-02
Created2020-11-03
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py_vollib_vectorized by marcdemers — Unverified | BotFinder