finmc 0.0.6

finmc is a Python library for Monte Carlo Simulation.

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.
• The interace is designed for 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.

See complete documentation here.

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)