cardquant 0.1.10

A library for mock quantitative trading exercises.

CardQuant 🃏 Quantitatively

CardQuant is a Python library designed for simulating and analyzing scenarios related to trading games. It currently features two main classes:

• Figgie: for the Jane Street Figgie game
• CardValuation: for IMC’s mock trading game involving options on the sum of drawn cards

---

Features

• Figgie Game Analysis Calculate probabilities related to the Figgie card game.
• Card Sum Options Valuation Simulate a game where options are based on the sum of n drawn cards, and calculate their theoretical values and associated Greeks.

---

Installation

pip install cardquant

---

Core Classes

Figgie

The Figgie class provides utilities for the Jane Street Figgie card game.

• Primary function: Calculate the probability of achieving the goal suit based on a given starting hand and game state.

CardValuation

The CardValuation class simulates drawing n cards from a deck and pricing European‑style options on the final sum.

• Outputs:

  • Theo: theoretical option values
  • Greeks: Delta, Gamma, Theta, Charm, Color

---

Key Concepts & Parameters

When creating a CardValuation instance, you can specify:

Parameter	Description
n	Total number of cards to be drawn
deck	List representing the deck (e.g. list(range(1,14))*4 for a standard deck)
strike_list	List of strike prices for which options will be valued
seen_cards	List of cards already drawn and known
with_replacement	True to draw with replacement, False otherwise
calculate_all_greeks	True to compute all Greeks (Theo, Delta, Gamma, Theta, Charm, Color); False for (Theo, Delta)

After instantiation or any state change (e.g. via add_card), the instance exposes:

• options: dict mapping each strike to an object with Call/Put valuations (Theo + Greeks)
• future: expected final sum of the n cards given the current state

---

Public Methods

• add_card(new_card: int) Adds new_card to seen_cards (validates availability and total count), then recalculates future, all Theos, and Greeks.

---

Greeks Explained

• Delta (Δ) Probability of the option expiring in the money.

  • Call Δ = P(final sum > K)
  • Put Δ = −P(final sum < K)

• Gamma (Γ) Rate of change of Delta with respect to the strike:

  $$ \Gamma \approx \frac{\bigl|\Delta(K+1) - \Delta(K-1)\bigr|}{2} $$

• Time Greeks (interpreted as drawing one more card):

  • Theta (Θ): change in Theo if one more card (expected value) is drawn
  • Charm (ψ): change in Delta under the same “one more card” move
  • Color (χ): change in Gamma under the same “one more card” move

---

Usage Example

from cardquant import CardValuation

# initialize the pricing engine
# note that the values here are the default values used for IMC's mock trading
# nonetheless, the ability to alter them is given in the event slight changes are made to the mock
pricing_engine = CardValuation(
    n=10,
    seen_cards=[],
    strike_list=list(range(50,91,10)),
    deck=list(range(1,14))*4,
    with_replacement=False,
    calculate_all_greeks=True
)

print(pricing_engine)

# access the numerical value for the future
print(pricing_engine.future)

# access the numerical value for a particular attribute of an option strike
# by pricing_enging.options[strike].(call/put).(theo/greek)
print(pricing_engine.options[50].call.theo)
print(pricing_engine.options[50].put.delta)
print(pricing_engine.options[70].call.theta)

# Add a new card and recalc
pricing_engine.add_card(5)
print("\nAfter adding card 5:")
print(game)

---

Contributing

Contributions are welcome!

1. Fork the repo
2. Create a feature branch (git checkout -b feature-name)
3. Commit your changes (git commit -m 'Add feature')
4. Push to the branch (git push origin feature-name)
5. Open a Pull Request

Please adhere to the existing code style and include tests where appropriate.

---