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Options Portfolio

Project Overview

This project implements an Options Portfolio Management and Risk Analysis Tool using Python. It calculates options prices using the Black-Scholes model, computes the Greeks, and performs comprehensive risk analysis. The tool supports both real and simulated market data, visualizes results, and offers extensible features for advanced users.

Features

  • Option Pricing: Computes call and put prices using the Black-Scholes model.
  • Greeks Calculation: Computes sensitivities (Delta, Gamma, Vega, Theta, Rho) analytically or numerically.
  • Portfolio Management: Supports construction and valuation of options portfolios.
  • Risk Analysis: Performs scenario and sensitivity analysis and explores hedging strategies.
  • Visualization: Generates interactive graphs and dashboards for insights.
  • Backtesting: Validates portfolio performance using historical data.
  • Extensibility: Supports implied volatility calculations, American options, Monte Carlo simulations, and machine learning models.

Installation

  1. Clone the repository:
bash
git clone https://github.com/your-username/options-portfolio.git
cd options-portfolio
  1. Install dependencies:
bash
pip install -r requirements.txt

Project Structure

bash
options-portfolio/
│
├── data/                  # Market data files (if using offline data)
├── functions.py           # Core functions for pricing and Greeks
├── portfolio_config.py    # Configuration for portfolio
├── main.py                # Main script for execution
├── requirements.txt       # Python dependencies
├── visualizations/        # Output graphs and dashboards
├── README.md              # Project documentation
└── testing.py             # Unit tests and validation scripts

Features in Detail

1. Option Pricing

  • Implements the Black-Scholes model for European call and put options.
  • Supports validation of prices with real market data.

2. Greeks Calculation

  • Computes Delta, Gamma, Vega, Theta, and Rho analytically.
  • Visualizes Greeks to show sensitivity to asset prices and time.

3. Portfolio Management and Valuation

  • Creates an options portfolio with customizable positions.
  • Computes total portfolio value and Greeks.

4. Risk Analysis

  • Scenario analysis to model responses to market changes.
  • Implements hedging strategies for Delta-neutral or Gamma-neutral positions.

5. Visualization and Reporting

  • Generates interactive dashboards using Plotly or Bokeh.
  • Summarizes key metrics and performance.

License

This project is licensed under the MIT License. See the LICENSE file for details.