Option Pricer Classic — Python Codebase

Modular option valuation framework. Pure Python standard library, no dependencies.

Structure

option_pricer_classic/
├── main.py                    ← Entry point. Edit contracts here.
├── engine.py                  ← Dispatcher: routes contracts to pricers.
├── models/
│   ├── contract.py            ← OptionContract dataclass + validation.
│   └── result.py              ← PricingResult + Greeks + display().
├── pricers/
│   ├── base.py                ← Abstract BasePricer (ABC).
│   ├── black_scholes.py       ← BSM analytical pricer + 5 Greeks.
│   ├── binomial.py            ← CRR binomial tree (European + American).
│   └── monte_carlo.py         ← GBM simulation + antithetic variates.
├── utils/
│   ├── display.py             ← Banner and run summary table.
│   └── iv_solver.py           ← Newton-Raphson + bisection IV solver.
└── tests/
    └── test_pricers.py        ← 22 unit tests, no pytest needed.

Usage

python main.py
python tests/test_pricers.py

Quick API

from option_pricer_classic import OptionContract, OptionPricer

result = OptionPricer.price(OptionContract(
    spot=100, strike=105, maturity=0.5,
    vol=0.20, rate=0.05, dividend=0.02,
    opt_type="call", style="european",
    method="black_scholes",
))
result.display()
print(result.greeks.delta)

# Implied vol
from option_pricer_classic.utils import solve_iv
iv = solve_iv(4.50, contract)

Method guide

Method	European	American	Greeks	Best for
black_scholes	✓	✗	✓	Vanilla European, benchmarks
binomial	✓	✓	✗	American options
monte_carlo	✓	✗	✗	Extensible exotic base

Extending

Add a new pricer in three steps:

1. Create pricers/my_pricer.py — subclass BasePricer, implement price().
2. Register in engine.py: _REGISTRY["my_method"] = MyPricer().
3. Add "my_method" to VALID_METHODS in models/contract.py.