mc-option-simulator-yale

Monte Carlo Pip Setup

pip install using:

pip install mc-option-simulator-yale

import the module using:

from montecarlo.MonteCarloSimulation import MonteCarloSimulation

classes:

class MonteCarloSimulation:

Methods belong to MonteCarloSimulation

def __init__(self, stock_value, strike, volatility):
        self.stock_value = stock_value
        self.risk_free_interest = RISK_FREE_INTEREST
        self.strike = strike
        self.sigma = volatility
        self.delta_time = DELTA_TIME
        self.T = TIME
        self.steps = steps
        self.simulations = simulations
        self.payoffs = []

def Geometric_Brownian_Motion(self, option_type="call"):

def Black_Scholes(self, option_type="call".lower())

Full class and method details omitted, refer to the code to see full implementation.