finmc
This package contains Monte-Carlo implementations of many financial models derived from a common interface class. This interface allows for
- Shared utilities that can be used for all models for tasks such as calculating implied vol surface.
- Price Calculators that are model invariant.
- High performance, even with a large number of paths.
- New models can be created outside this repositary, by indepedent contributors, and yet be compatible with above utilities and calculators.
Documentation
Notebooks
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| Hull-White with a term structure of rates. | Paths of Variance in Heston Model. |
Install it from PyPI
pip install finmc
Example
This is an example of pricing a vanilla option using the local volatility model.
import numpy as np
from finmc.models.localvol import LVMC
from finmc.calc.option import opt_price_mc
# Define Dataset with zero rate curve, and forward curve.
dataset = {
"MC": {"PATHS": 100_000, "TIMESTEP": 1 / 250},
"BASE": "USD",
"ASSETS": {
"USD":("ZERO_RATES", np.array([[2.0, 0.05]])),
"SPX": ("FORWARD", np.array([[0.0, 5500], [1.0, 5600]])),
},
"LV": {"ASSET": "SPX", "VOL": 0.3},
}
model = LVMC(dataset)
price = opt_price_mc(5500.0, 1.0, "Call", "SPX", model)
1 maintainer
Metadata
1 maintainer
Release files for finmc 0.1.0
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