jax_russell
jax-rusell is a package that implements financial option formulas, and leverages Jax's autodifferentiation to support calculating "the greeks."
Formulas are taken from Espen Haug's The Complete Guide to Option Pricing Formulas, unless otherwise noted.
Pre-alpha, API unstable.
- Documentation: https://SeanEaster.github.io/jax_russell
- GitHub: https://github.com/SeanEaster/jax_russell
- PyPI: https://pypi.org/project/jax_russell/
- Free software: GPL-3.0-only
Features
- Standard tree methods, like Cox-Ross-Rubinstein and Rendleman Bartter, for American and European options
- Generalized Black-Scholes-Merton
- First- and second-order risk measures ("the greeks") via auto-differentiation
- Support for options on stocks, stocks with continuous dividend, futures and margined futures (see the section "Usage")
Planned
- More comprehensive testing (greeks against first- and second-differences)
- Skewed and leptokurtic methods
Credits
This package was created with Cookiecutter and the waynerv/cookiecutter-pypackage project template.
1 maintainer
Metadata
1 maintainer
Release files for jax-russell 0.2.0
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Release files / jax_russell-0.2.0.tar.gz
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