[The Path to QUANT] Options Calculator by Python

期权计算器

使用Python复现了一个完整的期权计算器，包含期权定价，希腊值计算，数值方法计算隐含波动率。详细注释已给出。
Option price 分别使用BSM模型定价和Monte-Carlo模拟定价；Greeks使用数值方法计算，解析解在文中给出；implied volatility 分别使用牛顿-拉弗森迭代法和二分迭代法求数值解，并给出迭代次数和精度。

完整代码

使用jupyter notebook autopep8 插件调整至符合PEP8代码规范。

'''
This Module Contains Black-Scholes-Merton Calculations of Prices and Greeks for Options.
'''

import numpy as np
import pandas as pd
from scipy.stats import norm
import datetime
import matplotlib.pyplot as plt

class Option:
    '''
    This class will generate few BSM model calculations for an option.
    '''

    def __init__(self, set_date=datetime.date.today(), exp_date=datetime.date.today(), t=None, S0=1, K=1, OptionType='C', r=0.05, vol=0.3, div=0, price=np.nan):
        self.OptionType = OptionType.upper()
        self.K = float(K)
        self.r = float(r)
        self.vol = float(vol)
        self.set_date = set_date
        self.exp_date = exp_date
        self.div = div
        self.price = price
#         when directly input the days to expire
        if t:
            self.t = t/252.0
#         when use set_date and exp_date
        else:
            self.t = self.__calculate_t()
#         case in expiration date
        if self.t == 0:
            self.t = 0.000001
#         self.S0 = float(S0)*np.exp(self.r*self.t)
        self.S0 = float(S0)

#     calculate the days to expire under different types of date parameters
    def __calculate_t(self):
        #         re-format set_date into datetime.date
        #         when the date parameter is string
        if type(self.set_date) == str:
            #             when the delimeter is '/'
            if '/' in self.set_date:
                t0 = datetime.datetime.strptime(self.set_date, '%Y/%m/%d')
#             when the delimeter is '-'
            elif '-' in self.set_date:
                t0 = datetime.datetime.strptime(self.set_date, '%Y-%m-%d')
#             when the string has no delimeters
            else:
                t0 = datetime.datetime(int(self.set_date[0:4]), int(
                    self.set_date[4:6]), int(self.set_date[6:8]))
#         when the date parameter is number
        elif type(self.set_date) == int or type(self.set_date) == long or type(self.set_date) == float:
            t0 = datetime.datetime(int(str(self.set_date)[0:4]), int(
                str(self.set_date)[4:6]), int(str(self.set_date)[6:8]))
#         when the date parameter is date
        elif type(self.set_date) == datetime.date or type(self.set_date) == datetime.datetime:
            if type(self.set_date) == datetime.date:
                t0 = datetime.datetime(
                    self.set_date.year, self.set_date.month, self.set_date.day)
            else:
                t0 = self.set_date
        else:
            t0 = self.set_date
#         re-format exp_date into datetime.date
        if type(self.exp_date) == str:
            if '/' in self.exp_date:
                t1 = datetime.datetime.strptime(self.exp_date, '%Y/%m/%d')
            elif '-' in self.exp_date:
                t1 = datetime.datetime.strptime(self.exp_date, '%Y-%m-%d')
            else:
                t1 = datetime.datetime(int(self.exp_date[0:4]), int(
                    self.exp_date[4:6]), int(self.exp_date[6:8]))
        elif type(self.exp_date) == int or type(self.exp_date) == long or type(self.exp_date) == float:
            t1 = datetime.datetime(int(str(self.exp_date)[0:4]), int(
                str(self.exp_date)[4:6]), int(str(self.exp_date)[6:8]))
        elif type(self.exp_date) == datetime.date or type(self.exp_date) == datetime.datetime:
            if type(self.exp_date) == datetime.date:
                t1 = datetime.datetime(
                    self.exp_date.year, self.exp_date.month, self.exp_date.day)
            else:
                t1 = self.exp_date
        else:
            t1 = self.exp_date

#         calculate the days to expire
        return</