Introduction

Python package wrapping a C++ implementation of the Cox-Ross-Rubinstein (CRR) binomial option-pricing model, with optional stock-price threshold pruning.

Set inclusive S_lower and S_upper bounds to restrict which stock-price nodes contribute to the valuation. By default, the bounds apply at expiry; every_step=True also removes nodes outside the band at intermediate steps. When only one child survives, it receives the remaining transition probability.

Source code could be found here.

Interactive pricing

Drag the red and green bars to set the upper and lower stock-price thresholds. Use the controls to change the option inputs and choose whether thresholds apply only at expiry or at every time step.

Overview

The package supports:

European and American option pricing
CRR lattice calculations with adjustable step counts
optional lower and upper stock-price thresholds, applied at expiry or every step
Black-Scholes pricing as a benchmark
access to terminal node information for inspection and plotting
an interactive CRR tree plot with draggable thresholds

The public API is intentionally simple:

import quantplus as qp

price = qp.crr_price(
    S0=100.0,
    K=100.0,
    r=0.05,
    sigma=0.20,
    T=1.0,
    N=200,
    q=0.01,
    is_call=True,
    american=False,
    S_lower=80.0,
    S_upper=120.0,
)

# Set every_step=True to enforce the band at every time step.

Documentation map

Contents

The project is designed to be easy to install, quick to use, and transparent in how the numerical code is structured. The next sections walk through installation, usage patterns, the technical implementation, and the versioning policy.