v0.1.8

Support for greeks of binary options

Full Changelog: v0.1.7...v0.1.8

v0.1.7

What's Changed

• BinaryCall and BinaryPut by @CarloLepelaars in #16

Full Changelog: v0.1.6...v0.1.7

v0.1.6

What's Changed

• Add Calendar call and put spread by @CarloLepelaars in #15

Full Changelog: v0.1.5...v0.1.6

v0.1.5

Add alpha greek, also called "gamma rent". This is the ratio between theta and gamma. This concept is explained in depth in Nassim Taleb's "Dynamic Hedging" p. 178-181.

Full Changelog: v0.1.4...v0.1.5

v0.1.4

Full Changelog: v0.1.3...v0.1.4

v0.1.2

• Bull and bear spread.
• Long and short Iron Butterfly
• More copyable code examples.
• Consistent type hints.
• Clearer documentation.

Full Changelog: v0.1.1...v0.1.2

v0.1.1

• Fix bug where long and short iron condor were switched.

Full Changelog: v0.1.0...v0.1.1

v0.1.0

• Option Structures (long and Short):

1. Straddle
2. Strangle
3. Butterfly
4. Iron Condor

• Prettify docs
• More example cases that can be copied and used

Full Changelog: v0.0.6...v0.1.0

v0.0.6

• Fix bug where _d1 did not adjust for dividend yield.
• Black76Call and Black76Put features.
• Refactor to generalize Black-Scholes formula to other log-normal forward models.

Full Changelog: v0.0.5...v0.0.6

v0.0.5

No external dependencies needed AT ALL for a normal install.

numpy is now only a dev dependency.

Full Changelog: v0.0.4...v0.0.5