For vanillas and vol derivatives (including VIX, var & vol swaps)
For any asset class
And many others...
import vola
fa = vola.makeFactoryAnalytics()
fp = 'AEX_20160622-160000.000-CET_ocpf-eq.json.gz' # serialized price fitter
ocpf = fa.makeOptionChainPricerFitterEquity(fp) # create fitter from serialized instance
oc = ocpf.optionChain # the option chain with contract information
ps = ocpf.priceSnapshot # price snapshot with price information
vcts = [vola.VCT.C6, vola.VCT.C10M] # curve types to use for fitting prices
rf = ocpf.fit(ps, vcts) # fit price snapshot
vs = rf.volSurface # use the volsurface for pricing
ocp = fa.makeOptionChainPricerEquity(oc, vs) # create pricer
rp = ocp.price() # compute prices and greeks for all options in the option chain
vola.df.rp(rp) # print prices and greeks in pandas dataframe
vola.plot.var(vs) # plot total variances for the fitted vol surface
Vola Dynamics offers the world's leading options pricer and volatility fitter.
Trade any equity, ETF, futures, or index options off auto-fitted curves and/or easily create your own. Price and hedge vol derivatives consistent with vanillas.
Relying on decades worth of research and trading, implemented in a modern Bayesian framework, using superior numerics. Automated trading even around high vol/opportunity events.
Drop-in replacement for the critical pricer and fitter components of your infrastructure (C++, Python, Java, C#).
Vola Pricer
Vola Fitter
Vola Curves
Vola Vol Derivatives
Vola VIX Pricer
Vola Discount Fitter
Vola PnL Explanation
Our clients trust Vola Dynamics to maintain their core valuation and risk analytics (pricing, greeks, volatility surface fitting, scenario analysis) for equity, futures and index options.
