A library to deal with options and option strategies
npm i black-scholes-bonanzaUseful payoff calculations and pricing including greeks, all computed using the Black-Scholes model.
- Vanilla options
- Digital options
- Straddle
- Strangle
- Spreads
- Risk Reversal
- Butterfly
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); // 0.71
opt.getGamma(spot); // 0.01
opt.getVega(spot); // 24.15
opt.getTheta(spot); // 23.57
opt.getRho(spot); // 21.26