This project is a simple implementation of a binomial option contract pricing model. Currently there is no UI, only CLI.
Pricing information about underlyings is currently using a free HTTP-based API provided by Alpha Vantage documentation. This is good enough for now, but it may be worth upgrading to a paid real-time market data stream.
There are multiple variants of binomial pricing models, each differing in its definition of the 3 key input variables. The plan for this project is to implement both Cox-Russ-Rubinstein and Jarrow-Rudd variants.
Clone this repo and make sure you have Python 3 installed. Then, the run.sh script should bootstrap your local environment and install all the necessary packages.
Example:
$> ./run.sh --underlying SPY --expiration 2018-04-20 --type C --strike 272.50 --rate 0.0164Currently the only output is in logs/application.log:
$> tail -f logs/application.log
2018-03-18 19:44:30,755 INFO Calculating price for SPY 2018-04-20 272.50 C
2018-03-18 19:44:31,606 INFO Got 100 daily quotes for SPY
2018-03-18 19:44:31,607 INFO SPY volatility: 0.142818
2018-03-18 19:44:31,607 INFO u: 1.014384, d: 0.985820, p: 0.502171- More logging
- finish Cox-Russ-Rubinstein implementation tree calcs
- Jarrow-Rudd implementation
- US Treasury rate API?
- GUI for displaying the tree?
- Postgres data store for tracking model runs?