kiyosi Python bindings

The kiyosi Python package provides a small Python API over Kiyosi's native C++ pricing library. It currently exposes a closed-form Black–Scholes pricer for European call and put options, including the standard Greeks.

Requirements

• Python 3.11 or newer

The package contains a native extension. Installing from source therefore also requires a C++23 compiler and CMake 3.28 or newer.

Installation

From a checkout of this repository:

python -m pip install .

Usage

from datetime import date

import kiyosi

result = kiyosi.black_scholes(
    "call",
    spot=100.0,
    strike=100.0,
    valuation_date=date(2025, 1, 1),
    expiry=date(2026, 1, 1),
    risk_free_rate=0.05,
    dividend_yield=0.02,
    volatility=0.20,
)

print(result["price"])
print(result["delta"])

The result contains price, delta, gamma, theta, vega, and rho. Use EuropeanOption, Market, and price when you prefer to construct the inputs explicitly.

Development

The Python API lives in kiyosi, its native extension is in kiyosi/_native.cpp, and Python tests are in ../tests/python.

For the C++ library and CMake presets, see the repository README.md.

License

kiyosi is licensed under the MIT License. See ../LICENSE.txt.