hull-derivatives

npm typescript package that implements the formulas and models from John Hull's Options, Futures, and Other Derivatives book.

This package is currently alpha and a missing the majority of features.

Features (current)

The library provides utility functions for:

Options

• Payoff calculations for European call and put options (long and short positions)
• Profit calculations for European call and put options

Forwards and Futures

• Payoff and value functions for forward contracts (long and short)
• Forward pricing with:
  • No income
  • Known cash income
  • Known dividend yield

Interest Rate Calculations

• Discrete and continuous compounding
• Conversion between discrete and continuous interest rates

Installation

npm install hull-derivatives

Usage

import { longEuropeanCallPayoff, continuousCompound } from "hull-derivatives";

// Long European Call Payoff
const payoff = longEuropeanCallPayoff({
  strikePrice: 100,
  finalPrice: 120
});
console.log(payoff);

// Continuous Compounding
const futureValue = continuousCompound({
  amount: 1000,
  years: 3,
  interestRate: 0.05
});
console.log(futureValue);