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Request for dividend paying equity adjustments #6

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MorningCoffeeZombie opened this issue Mar 11, 2022 · 0 comments
Open

Request for dividend paying equity adjustments #6

MorningCoffeeZombie opened this issue Mar 11, 2022 · 0 comments

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@MorningCoffeeZombie
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MorningCoffeeZombie commented Mar 11, 2022

The BSM formula offered in this pip is the standard BSM model. Could you please add support for equities that pay regular dividends where the input 'q' represents the yield?

Example:

import opstrat as op

K = 425			# Strike
r = 1.978		# Risk free rate
t = 35			# Time to expiry (in days)
sigma = 28.84		# Annualized volatility
St = 425.48		# Underlying price
type = 'p'		# Option type (c or p)

bsm=op.black_scholes(K=K, St=St, r=r, t=t, v=sigma, type=type)

q = 3.2			# Dividend
bsm_div=op.black_scholes(K=K, St=St, r=r, t=t, v=sigma, type=type, q=q)
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