jax-quant-finance 0.0.1

High Performance Quantative Finance Library on JAX

JAX-Quant-Finance: High Performance Quantative Finance on JAX

Introduction

Inspired by TF Quant Finance, we developed a quantative finance library based on JAX. This library provides high-performance components leveraging the hardware acceleration, parallel scientific computing and automatic differentiation of JAX.

We can:

• run financial workloads on CPU/GPU/TPU with XLA acceleration

• calculate mathematical derivative of financial models, i.e. Greeks

• distribute workloads on multiple devices and machines

examples directory contains several demonstrations of using the JAX-Quant-Finance.

Install

JAX installation

You must first follow JAX's installation guide to install JAX based on your device architecture (CPU/GPU/TPU).

JAX-Quant-Finance

pip install jax-quant-finance --upgrade

64-bit precision

To enable 64-bit precision, set the respective JAX flag before importing jax_quant_finance (see the JAX guide), for example:

from jax.config import config
config.update("jax_enable_x64", True)