derivatives-pricinglisted

Price options and fixed income, and get the Greeks and conventions right. TRIGGER - option pricing, implied volatility, IV, Greeks, delta, gamma, vega, theta, rho; Black-Scholes, binomial, Monte Carlo, American exercise, early exercise, exotics; volatility surface, smile, skew, SVI, SABR, ZABR; QuantLib, vollib, py_vollib, financepy, rateslib, optionlab; option chains; or yield curve, discount factor, curve bootstrapping, day count, swap and bond pricing. Greek scaling differs by 100x and 365x between the three common libraries, and one popular fixed-income package is not open source. SKIP for option lifecycle events - assignment, pin risk, expiry - live or backtested, and for historical option chains and vendors (options-backtesting).
howard-lynn-ye/fin-skills · ★ 1 · AI & Automation · score 77

Install: claude install-skill howard-lynn-ye/fin-skills

# Derivatives pricing Two things will silently corrupt your numbers here: **Greek scaling conventions that differ by 100× and 365× between libraries**, and **a licence trap in the most-recommended fixed-income package.** ## 1. Pick a library | Task | Use | Licence | |---|---|---| | **Anything serious, broad coverage** | **QuantLib** 1.43 | ✅ **BSD-3 — the only broadly-permissive mature full-coverage option** | | Vanilla IV + Greeks, fast and simple | **`vollib`** 1.0.11 | MIT | | Jaeckel's "Let's Be Rational" IV | `lets_be_rational` 1.1.2 | MIT | | Option strategy P&L / payoff analysis | `optionlab` 1.8.5 | 🚨 **GPL-3.0** — its PyPI licence field is **blank**; the repo says GPL-3.0 | | Broad instrument coverage, readable source | `financepy` 1.1.2 | 🚨 **GPL-3.0-or-later — copyleft** | | Fixed income / swaps / curves | `rateslib` | 🚨🚨 **NOT open source — see §2** | | SABR only | `pysabr` | ⚠️ stale since 2022-04-21 | | Asian/exotic closed forms | `pyfeng` | 🚨 **GPL-2.0** | ⚠️ **A blank PyPI licence field does not mean permissive.** `optionlab` declares nothing on PyPI and is GPL-3.0 in its repository. Check the repo's LICENSE file, not the package metadata. 🚨 **`py_vollib` is now a dead shim.** As of 1.0.12 (2026-06-01) it contains **zero library code** — 4 files, summary *"Deprecated transition package for vollib"*, depending on `vollib>=1.0.11`. Importing it emits a deprecation warning at runtime. **The canonical name is `vollib`.** Every tutorial written before mi