Gouant: Black-Scholes Options Pricing Library

Overview

Gouant is a Go library for calculating option pricing and Greeks using the Black-Scholes model. It provides comprehensive functionality for options pricing, including price calculation, implied volatility, and option Greeks.

Features

• Calculate option prices for both call and put options
• Compute option Greeks (Delta, Gamma, Theta, Rho, Vega)
• Calculate implied volatility using Newton-Raphson method
• Support for dividend-paying underlying assets
• Precise mathematical calculations using standard financial formulas

Installation

go get github.com/asargin-dev/gouant

Usage Example

package main

import (
    "fmt"
    "github.com/asargin-dev/gouant"
)

func main() {
    // Create a Black-Scholes option
    option := &gouant.BlackScholes{
        UnderlyingPrice: 100.0,
        StrikePrice:     105.0,
        TimeToMaturity:  1.0,
        RiskRate:        0.05,
        Dividend:        0.02,
        IsCall:          true,
        DerivativePrice: 5.0,
    }

    // Calculate option price
    price := option.Price(0.25)
    fmt.Printf("Option Price: %.2f\n", price)

    // Get option Greeks
    greeks := option.Greeks()
    fmt.Printf("Delta: %.4f\n", greeks.Delta)
    fmt.Printf("Gamma: %.4f\n", greeks.Gamma)
}

Methods

BlackScholes Struct Methods

• Price(sigma float64): Calculate option price
• IV(): Calculate implied volatility
• Delta(sigma float64): Calculate option delta
• Gamma(sigma float64): Calculate option gamma
• Theta(sigma float64): Calculate option theta
• Rho(sigma float64): Calculate option rho
• Vega(sigma float64): Calculate option vega
• Greeks(): Calculate all Greeks using implied volatility

Mathematical Background

The library implements the Black-Scholes option pricing model, which uses the following key components:

• Cumulative Normal Distribution (CND)
• Probability Density Function (PDF)
• Volatility calculation
• Risk-free rate
• Dividend yield
• Time to maturity

Contributing

1. Fork the repository
2. Create your feature branch (git checkout -b feature/AmazingFeature)
3. Commit your changes (git commit -m 'Add some AmazingFeature')
4. Push to the branch (git push origin feature/AmazingFeature)
5. Open a Pull Request

License

Distributed under the MIT License. See LICENSE for more information.

Contact

Ahmet Sargın - contact@ahmetsargin.com

Project Link: https://github.com/asargin-dev/gouant