A quick script for calculating some of the Greeks in Python

the_greeks.py

# -*- coding: utf-8 -*-
from math import erf,exp,log,pi,sqrt
import argparse

def phi(x):
    'Cumulative distribution function for the standard normal distribution'
    return (1.0 + erf(x / sqrt(2.0))) / 2.0

def d(pos,r, sigma, T, K, S0):
    x = ((r+0.5*sigma**2)*T - log(K/S0))/(sigma*sqrt(T))
    if not pos:
        x -= sigma*sqrt(T)
    return x

def _delta(d1):
    return phi(d1)

def _gamma(sigma, T, S0, d1):
    return 1/(sigma*S0*sqrt(2*pi*T))*exp(-d1**2/2)

def _theta(r, T, X, S0, sigma, gamma, d2):
    return -r*exp(-r*T)*X*phi(d2)-0.5*sigma**2*S0**2*gamma

def main(S0, X, r, t, sigma):
    T = t/12

    d1 = d(True, r, sigma, T, X, S0)
    d2 = d(False, r, sigma, T, X, S0)

    delta = _delta(d1)
    gamma = _gamma(sigma, T, S0, d1)
    theta = _theta(r, T, X, S0, sigma, gamma, d2)

    print()
    print("Delta: {0}".format(delta))
    print("Gamma: {0}".format(gamma))
    print("Theta: {0}".format(theta))

if __name__ == "__main__":
    parser = argparse.ArgumentParser(description = "Prints the greeks for specified params")
    parser.add_argument('price', metavar='S0', type=float, help='current price of underlying stock')
    parser.add_argument('strike', metavar='X', type=float, help='strike price of option')
    parser.add_argument('interest', metavar='r', type=float, help='interest per period')
    parser.add_argument('time', metavar='T', type=float, help='period (months)')
    parser.add_argument('sigma', metavar=u'σ', type=float, help='volatility')
    args=parser.parse_args()
    main(args.price, args.strike, args.interest, args.time, args.sigma)