Mercurial > public > python-black-scholes

annotate DOCS.md @ 19:71d1dcfcebee default tip

Find changesets by keywords (author, files, the commit message), revision number or hash, or revset expression.
Move to mercurial
author Dennis C. M. <dennis@denniscm.com>
date Tue, 03 Jun 2025 14:50:23 +0100
parents ca59a9f4076f
children
Ignore whitespace changes - Everywhere: Within whitespace: At end of lines:
rev   line source
15
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
1
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
2 # Table of Contents
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
3
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
4 1. [Usage](#org9bd323d)
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
5 1. [Example](#orga21d4a0)
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
6
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
7
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
8 <a id="org9bd323d"></a>
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
9
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
10 # Usage
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
11
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
12 fbs --help
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
13
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
14
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
15 <a id="orga21d4a0"></a>
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
16
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
17 ## Example
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
18
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
19 Price a European call option with the following data:
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
20
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
21 - Spot price -> $20
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
22 - Exercise price -> $21
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
23 - Risk free rate -> 5%
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
24 - Standard deviation -> 25%
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
25 - Time to expiration -> 6 months
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
26
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
27 fbs \
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
28 --spot-price=20.00 \
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
29 --exercise-price=21.00 \
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
30 --risk-free-rate=0.05 \
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
31 --std=0.25 \
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
32 --expiration=0.5
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
33
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
34 Output:
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
35
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
36 ---------------------------------------------
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
37 European call option price: 1.197698084193286
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
38 ---------------------------------------------
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
39 European put option price: 1.6792062367882679
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
40 ---------------------------------------------
ca59a9f4076f Change info files
Dennis <dennis@denniscm.com>
parents:
diff changeset
41