vanilla-option-pricers

vanilla-option-pricers provides Numba-vectorised Black-Scholes-Merton and Bachelier prices, Greeks, and implied-volatility fits over NumPy arrays for quantitative research pipelines.

Install the distribution as vanilla-option-pricers and import it as vanilla_option_pricers. The public functions consume caller-supplied forwards, discount factors, maturities, strikes, volatilities, option prices, and option-type codes.

Start with installation and a first result. The deterministic example prices a call, computes its delta, and recovers its input Black-Scholes-Merton volatility without network access or credentials.

Continue with the task guide that matches your workflow:

• Price options and compute Greeks

• Recover implied volatility

• Look up the complete package-root API

Use the convention and trust guides before adapting market data or measuring performance:

• Convert Bachelier normal-volatility units

• Normalize inverse-option quotes

• Choose array shapes and understand Numba behavior

• Interpret numerical accuracy and timing

• Compare package scope and choose a tool

Scope

The package covers:

• forward-based Black-Scholes-Merton and Bachelier vanilla pricing;

• selected Greeks;

• scalar, aligned-array, grid, and per-expiry execution paths; and

• implied-volatility fitting from caller-supplied option prices.

It does not construct spots, forwards, discount curves, calendars, or settlement conventions. It does not price American, exotic, path-dependent, or stochastic-volatility models. The IC and IP codes are inverse-workflow branches; callers own the required quote, numeraire, and payoff normalisation.

Project resources

• PyPI package

• Source repository

• Issue tracker

• Changelog

• Citation metadata

Documentation

• Installation and a first result
  • Install
  • Run the authoritative offline example
  • Next steps and boundaries
• Pricing and Greeks
  • Inputs and conventions
  • First pricing and Greek result
  • Choose the execution shape
  • Failure behavior and independent checks
• Implied volatility
  • Scalar solver contract
  • Scalar, slice, and chain example
  • Choose the inversion workflow
  • Failure behavior and conditioning
• Package-root API
  • Look up a signature
  • BSM scalar pricing, Greeks, and digitals
  • BSM array and chain helpers
  • BSM implied volatility
  • Bachelier pricing and Greeks
  • Bachelier implied volatility
  • Distribution helpers
• Bachelier normal-volatility convention
  • Convert an external quote
  • Executed reference checks
  • Domain and failure boundaries
• Inverse-option normalization
  • Paper convention and required conversion
  • Executed forward-numeraire workflow
  • What IC and IP actually change
  • Independent paper and model cross-check
• Array shapes and Numba behavior
  • Shape contract
  • Executed shape example
  • Option-code containers
  • First-call compilation
• Numerical accuracy and performance
  • Distribution functions
  • Executed public-API check
  • Intrinsic and degenerate boundaries
  • Implied-volatility solver limits
  • Cold and warm timing
• Choosing a vanilla-option pricing package
  • Release snapshot
  • Model and valuation surface
  • Inputs, dependencies, and execution
  • Workflow-based choice guide
  • Comparison limits
  • Primary sources