gouant

README

Gouant: Black-Scholes Options Pricing Library

Overview

Gouant is a Go library for calculating option pricing and Greeks using the Black-Scholes model. It provides comprehensive functionality for options pricing, including price calculation, implied volatility, and option Greeks.

Features

• Calculate option prices for both call and put options
• Compute option Greeks (Delta, Gamma, Theta, Rho, Vega)
• Calculate implied volatility using Newton-Raphson method
• Support for dividend-paying underlying assets
• Precise mathematical calculations using standard financial formulas

Installation

go get github.com/asargin-dev/gouant

Usage Example

package main

import (
    "fmt"
    "github.com/asargin-dev/gouant"
)

func main() {
    // Create a Black-Scholes option
    option := &gouant.BlackScholes{
        UnderlyingPrice: 100.0,
        StrikePrice:     105.0,
        TimeToMaturity:  1.0,
        RiskRate:        0.05,
        Dividend:        0.02,
        IsCall:          true,
        DerivativePrice: 5.0,
    }

    // Calculate option price
    price := option.Price(0.25)
    fmt.Printf("Option Price: %.2f\n", price)

    // Get option Greeks
    greeks := option.Greeks()
    fmt.Printf("Delta: %.4f\n", greeks.Delta)
    fmt.Printf("Gamma: %.4f\n", greeks.Gamma)
}

Methods

BlackScholes Struct Methods

• Price(sigma float64): Calculate option price
• IV(): Calculate implied volatility
• Delta(sigma float64): Calculate option delta
• Gamma(sigma float64): Calculate option gamma
• Theta(sigma float64): Calculate option theta
• Rho(sigma float64): Calculate option rho
• Vega(sigma float64): Calculate option vega
• Greeks(): Calculate all Greeks using implied volatility

Mathematical Background

The library implements the Black-Scholes option pricing model, which uses the following key components:

• Cumulative Normal Distribution (CND)
• Probability Density Function (PDF)
• Volatility calculation
• Risk-free rate
• Dividend yield
• Time to maturity

Contributing

1. Fork the repository
2. Create your feature branch (git checkout -b feature/AmazingFeature)
3. Commit your changes (git commit -m 'Add some AmazingFeature')
4. Push to the branch (git push origin feature/AmazingFeature)
5. Open a Pull Request

License

Distributed under the MIT License. See LICENSE for more information.

Contact

Ahmet Sargın - contact@ahmetsargin.com

Project Link: https://github.com/asargin-dev/gouant

Documentation

Index

• func CND(x float64) float64
• func PD(x float64) float64
• type BlackScholes
  • func (b *BlackScholes) Delta(sigma float64) float64
  • func (b *BlackScholes) Gamma(sigma float64) float64
  • func (b *BlackScholes) Greeks() *Greeks
  • func (b *BlackScholes) IV() float64
  • func (b *BlackScholes) Price(sigma float64) float64
  • func (b *BlackScholes) Rho(sigma float64) float64
  • func (b *BlackScholes) Theta(sigma float64) float64
  • func (b *BlackScholes) Vega(sigma float64) float64
• type Greeks

Functions

func CND

func CND(x float64) float64

CND Cumulative Normal Distribution

func PD

func PD(x float64) float64

PD Probability Density

Types

type BlackScholes

type BlackScholes struct {
	DerivativePrice float64 // The price of the option.
	UnderlyingPrice float64 // The price of the underlying asset.
	StrikePrice     float64 // The strike price.
	TimeToMaturity  float64 // The annualized time to expiration. Must be positive.
	RiskRate        float64 // The Interest Free Rate.
	Dividend        float64 // The annualized continuous dividend yield.
	IsCall          bool    // For each contract, this should be specified as tru for a call option and false for a put option.
}

func (*BlackScholes) Delta

func (b *BlackScholes) Delta(sigma float64) float64

Delta Calculate Delta

func (*BlackScholes) Gamma

func (b *BlackScholes) Gamma(sigma float64) float64

Gamma Calculate Gamma

func (*BlackScholes) Greeks

func (b *BlackScholes) Greeks() *Greeks

func (*BlackScholes) IV

func (b *BlackScholes) IV() float64

IV Implied Volatility calculation using Newton-Raphson method

func (*BlackScholes) Price

func (b *BlackScholes) Price(sigma float64) float64

func (*BlackScholes) Rho

func (b *BlackScholes) Rho(sigma float64) float64

Rho Calculate Rho

func (*BlackScholes) Theta

func (b *BlackScholes) Theta(sigma float64) float64

Theta Calculate Theta

func (*BlackScholes) Vega

func (b *BlackScholes) Vega(sigma float64) float64

Vega Calculate Vega

type Greeks

type Greeks struct {
	Delta float64
	Gamma float64
	Theta float64
	Rho   float64
	Vega  float64
}