quantlib.mlab.option_pricing

Copyright (C) 2012, Enthought Inc Copyright (C) 2012, Patrick Henaff

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.

Functions

blsimpv(price, spot, strike, risk_free_rate, ...)
blsprice(spot, strike, risk_free_rate, time, ...)	Matlab's blsprice + greeks (delta, gamma, theta, rho, vega, lambda)
heston_pricer(trade_date, options, params, ...)	Price a list of European options with heston model.