Formulas to tell you when the price is right.
Project description
jax_russell
jax-rusell is a package that implements financial option formulas, and leverages Jax's autodifferentiation to support calculating "the greeks."
Formulas are generally taken from Espen Haug's The Complete Guide to Option Pricing Formulas.
- 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
- Classes implementing standard tree methods, like Cox-Ross-Rubinstein and Rendleman Bartter
Planned
- Black Scholes and variations
- More comprehensive testing
Credits
This package was created with Cookiecutter and the waynerv/cookiecutter-pypackage project template.
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
jax_russell-0.1.1.tar.gz
(13.8 kB
view hashes)
Built Distribution
Close
Hashes for jax_russell-0.1.1-py3-none-any.whl
| Algorithm | Hash digest | |
|---|---|---|
| SHA256 | 221ec1d11e1749485bb582471e7aa1c5cf6a6a136eec5ab86a656e7891d0d03f |
|
| MD5 | 99b80990de3a587f7a6d7b09700b49ec |
|
| BLAKE2b-256 | ff7e3ee979c57a5d55783295f737c55a14b9209d1fcd8ffd57b2f405d0b62a7e |
