A collection of methods to calculate option prices, greeks & implied volatilities.
Range of supported products:
- European options on futures, using the Black'76 methodology.
Range of supported methodologies to derive implied volatilities:
- Bisection search algorithm.
You can install the package via composer:
composer require kyos/options-calculatoruse Kyos\OptionsCalculator\Black76;
$bs = new Black76();
echo $bs->getValues(Black76::CALL, 10.5, 12, 0.082, 0.60);
// [
// 'value' => 0.2405826183655344,
// 'delta' => 0.24449431791580983,
// 'gamma' => 0.17399585222314845,
// 'vega' => 0.009438057012140243,
// 'theta' => -3.450541861184725,
// 'rho' => -0.00019727774705973822,
// ]
echo $bs->getValues(Black76::PUT, 10.5, 12, 0.082, 0.60);
// [
// 'value' => 1.7393531225277215,
// 'delta' => -0.7546860181923143,
// 'gamma' => 0.17399585222314845,
// 'vega' => 0.009438057012140243,
// 'theta' => -3.435554156143103,
// 'rho' => -0.0014262695604727318,
// ]
echo $bs->getImpliedVolatility(Black76::CALL, 10.5, 12, 0.082, 0.2405826183655344);
// 0.60
echo $bs->getImpliedVolatility(Black76::PUT, 10.5, 12, 0.082, 1.7393531225277215);
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The MIT License (MIT). Please see License File for more information.