Options calculation over future contracts based on Black-Scholes-Merton model

This Module calculate price, implied volatility, and greeks of options over futures based on Black-Scholes-Merton model.

Installation

> npm i future-options-bs

Import

You should import by ES6 modules calling just calling some especific function:

import { callPrice } from "futures-options-bs";
const myCall = callPrice(300, 350, 0.2, 0.55, 0.05);

or the hole as an object:

import option from "futures-options-bs";
const myCall = option.callPrice(300, 350, 0.2, 0.55, 0.05);

Functions contained in this module

• callPrice(fut, sp, vol, t, r, decimal) Returns CALL price
• putPrice(fut, sp, vol, t, r, decimal) Returns PUT price
• deltaCall(fut,sp,vol,t,r) Returns Delta of a CALL
• deltaPut(fut,sp,vol,t,r) Returns Delta of a PUT
• gamma(fut,sp,vol,t,r) Returns Gamma of both types
• vega(fut,sp,vol,t,r) Returns Vega of both types
• thetaCall(fut,sp,vol,t,r,days) Returns Theta of a CALL
• thetaPut(fut,sp,vol,t,r,days) Returns Theta of a PUT
• impliedVolat(type,prime,fut,sp,t,r,error) Returns an implied volatility of an option

Variables used in functions

• fut - price of an underlying future contract
• sp - strike price
• vol - annual volatility
• t - time as a proportion of a year
• r - anual interest rate, 0 by default
• decimal - optional parameter - number of decimals tu return, 2 by default
• days - number of days per year, 365 by default
• type - "CALL" or "PUT"
• error - optional parameter - Desired error as a proportion of the prime 0.02 by default

Notes

Calculate of probabilities are made by an aproximation function method, but its error its quite small. The statistics functions are in a separate module for future improvements or changes in javascript functions that currently do not support these statistical functions.

These functions does not validate variables types, so inputs of string instead of number will result in a NaN or undefined output.