This was forked from vollib so that this module along with lets_be_rational can be used in Python 3.5.
vollib is a python library for calculating option prices,
implied volatility and greeks. At its core is Peter Jäckel's
source code for LetsBeRational, an extremely fast and accurate algorithm
for obtaining Black's implied volatility from option prices.
Building on this solid foundation, vollib provides functions
to calculate option prices, implied volatility and greeks using
Black, Black-Scholes, and Black-Scholes-Merton. vollib
implements both analytical and numerical greeks for each of the three pricing formulae.
Refer to the most the original vollib documentation for questions on dependencies. One important dependency is SWIG. Note that for Ubuntu users, SWIG is in the Ubuntu repository and can be installed with
sudo apt-get install swig
Note that this has not been well tested, and these directions are for installing on a Linux computer. Adapting these directions for another operating system should be easy enough though.
First, download the source code from this module with this link and from the lets_be_rational module with this link. Unzip these. Then (this is Linux specific) open the unzipped lets_be_rational folder, and change the line in make_linux.sh that has
gcc -c src/erf_cody.cpp src/rationalcubic.cpp src/normaldistribution.cpp src/LetsBeRational.cpp src/LetsBeRational_wrap.c -I/usr/include/python2.7
to
gcc -c -fPIC src/erf_cody.cpp src/rationalcubic.cpp src/normaldistribution.cpp src/LetsBeRational.cpp src/LetsBeRational_wrap.c -I/path/to/header/file/
Where you should replace /path/to/header/file/ with the actual path to the Python 3.5 header file named Python.h on your computer. Note that if you are using Anaconda with Python 3.5.2-0, this path will look something like /home/myusername/anaconda3/pkgs/python-3.5.2-0/include/python3.5m/. This directory can be found by searching in a directory through various subdirectories with the command find /search/directory -name Python.h (for example find / ! -readable -prune -o -name Python.h -print will search your entire computer for Python.h). Once this change is made, create the shared library by running:
./make_linux.sh
After this, to install this module run
python setup.py install
Now open the vollib source code folder you downloaded, and install it with the command:
python setup.py install
That's it! You should now be able to use vollib in Python 3.5!
All I did was downloaded the vollib and lets_be_rational source code (on 11/23/2016) and in the respective directories, used 2to3 to change the code from Python 2.x to Python 3.x code with the commands
2to3 -wn vollib-master
2to3 -wn lets_be_rational-master
That's it! If you want a more up-to-date version of vollib and lets_be_rational, head over there, and do this yourself!