Metadata-Version: 2.2
Name: volg
Version: 0.1.0
Summary: A Python package for calculating option Greeks and implied volatility.
Author-email: Vinod Bhadala <vinodbhadala@gmail.com>
License: MIT
Project-URL: Homepage, https://github.com/vbhadala/volg
Classifier: Programming Language :: Python :: 3
Classifier: License :: OSI Approved :: MIT License
Classifier: Operating System :: OS Independent
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Topic :: Office/Business :: Financial :: Investment
Requires-Python: >=3.6
Description-Content-Type: text/markdown
License-File: LICENSE
Requires-Dist: numpy
Requires-Dist: scipy
Requires-Dist: pandas
Requires-Dist: setuptools>=59.6.0


# volg

A Python package for calculating option Greeks and implied volatility.

## Installation

```bash
pip install volg
```

## Features

- Calculate implied volatility (IV) using binary search method
- Compute option Greeks (Delta, Gamma, Vega, Theta, etc.)
- Calculate exposures (Delta exposure, Gamma exposure, etc.)
- Support for both call and put options

## Usage

```python
from volg import greek

# Calculate implied volatility
iv = greek.iv(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')

# Calculate Greeks
greeks = greek.greeks(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')

# Process a dataframe with option data
df = greek.compute_greeks(df)
df = greek.compute_exposure(df)
```

## License

MIT License
