greeks.py

import math
from scipy.stats import norm


# S0 = underlying price
# X = strike price
# t = time to expiration
# σ = volatility
# r = continuously compounded risk-free interest rate
# q = continuously compounded dividend yield

# For,
# σ = Volatility = India VIX has been taken.
# r = 10% (As per NSE Website, it is fixed.)
# q = 0.00% (Assumed No Dividend)


def black_scholes_dexter(S0, X, t, σ="", r=10, q=0.0, td=365):
    # if(σ==""):σ =indiavix()

    S0, X, σ, r, q, t = float(S0), float(X), float(σ / 100), float(r / 100), float(q / 100), float(t / td)
    # https://unofficed.com/black-scholes-model-options-calculator-google-sheet/

    d1 = (math.log(S0 / X) + (r - q + 0.5 * σ ** 2) * t) / (σ * math.sqrt(t))
    # stackoverflow.com/questions/34258537/python-typeerror-unsupported-operand-types-for-float-and-int

    # stackoverflow.com/questions/809362/how-to-calculate-cumulative-normal-distribution
    Nd1 = (math.exp((-d1 ** 2) / 2)) / math.sqrt(2 * math.pi)
    d2 = d1 - σ * math.sqrt(t)
    Nd2 = norm.cdf(d2)
    call_theta = (-((S0 * σ * math.exp(-q * t)) / (2 * math.sqrt(t)) * (1 / (math.sqrt(2 * math.pi))) * math.exp(
        -(d1 * d1) / 2)) - (r * X * math.exp(-r * t) * norm.cdf(d2)) + (q * math.exp(-q * t) * S0 * norm.cdf(d1))) / td
    put_theta = (-((S0 * σ * math.exp(-q * t)) / (2 * math.sqrt(t)) * (1 / (math.sqrt(2 * math.pi))) * math.exp(
        -(d1 * d1) / 2)) + (r * X * math.exp(-r * t) * norm.cdf(-d2)) - (
                             q * math.exp(-q * t) * S0 * norm.cdf(-d1))) / td
    call_premium = math.exp(-q * t) * S0 * norm.cdf(d1) - X * math.exp(-r * t) * norm.cdf(d1 - σ * math.sqrt(t))
    put_premium = X * math.exp(-r * t) * norm.cdf(-d2) - math.exp(-q * t) * S0 * norm.cdf(-d1)
    call_delta = math.exp(-q * t) * norm.cdf(d1)
    put_delta = math.exp(-q * t) * (norm.cdf(d1) - 1)
    gamma = (math.exp(-r * t) / (S0 * σ * math.sqrt(t))) * (1 / (math.sqrt(2 * math.pi))) * math.exp(-(d1 * d1) / 2)
    vega = ((1 / 100) * S0 * math.exp(-r * t) * math.sqrt(t)) * (
                1 / (math.sqrt(2 * math.pi)) * math.exp(-(d1 * d1) / 2))
    call_rho = (1 / 100) * X * t * math.exp(-r * t) * norm.cdf(d2)
    put_rho = (-1 / 100) * X * t * math.exp(-r * t) * norm.cdf(-d2)

    return call_theta, put_theta, call_premium, put_premium, call_delta, put_delta, gamma, vega, call_rho, put_rho


def print_option_greeks(
        underlying_price,
        strike_price,
        time_to_expiration,
        volatility,
        risk_free_interest_rate,
        dividend_yield,
        td=365,
):
    call_theta, put_theta, call_premium, put_premium, call_delta, put_delta, gamma, vega, call_rho, put_rho = \
        black_scholes_dexter(
            underlying_price,
            strike_price,
            time_to_expiration,
            volatility,
            risk_free_interest_rate,
            dividend_yield,
            td,
        )

    print('CALL')
    print(f'\t premium: {call_premium}')
    print(f'\t delta: {call_delta}')
    print(f'\t theta: {call_theta}')
    print(f'\t rho: {call_rho}')

    print('PUT')
    print(f'\t premium: {put_premium}')
    print(f'\t delta: {put_delta}')
    print(f'\t theta: {put_theta}')
    print(f'\t rho: {put_rho}')

    print()

    print(f'Gamma: {gamma}')
    print(f'Vega: {vega}')


def main():
    try:
        underlying_price = float(input("Enter the underlying price: "))
        strike_price = float(input("Enter the strike price: "))
        time_to_expiration = float(input("Enter the time to expiration (in days): "))
        volatility = float(input("Enter the volatility (in percentage): "))
        risk_free_interest_rate = float(input("Enter the risk-free interest rate (in percentage): "))
        dividend_yield = float(input("Enter the dividend yield (in percentage): "))

        print_option_greeks(
            underlying_price=underlying_price,
            strike_price=strike_price,
            time_to_expiration=time_to_expiration,
            volatility=volatility,
            risk_free_interest_rate=risk_free_interest_rate,
            dividend_yield=dividend_yield,
        )
    except ValueError:
        print("Please enter valid numerical values.")

# Assuming that 'print_option_greeks' is already defined somewhere in your code



if __name__ == '__main__':
    main()