kiyosi
简体中文 | English
kiyosi 是一个面向 Python 用户的金融衍生品定价库，支持 Black–Scholes–Merton 模型下的香草及奇异衍生品定价，也提供可独立使用的 C++ 库。
项目目前处于 Alpha 阶段，API 可能发生不兼容变更。
支持的产品与功能
| 产品 | 定价方法 |
|---|---|
| 欧式、美式香草期权 | 解析解、美式近似、二叉树、数值积分、有限差分、蒙特卡洛，具体支持取决于行权方式 |
| 现金或无、资产或无数字期权 | 解析解、数值积分、有限差分 |
| 障碍期权、二元障碍与触碰类期权 | 解析方法；普通障碍期权另支持有限差分 |
| 几何平均、算术平均亚式期权 | 几何平均解析解、算术平均近似 |
| 雪球、二元雪球、三元雪球、凤凰及累购产品 | 有限差分、蒙特卡洛 |
此外提供 Greeks、数值敏感度、隐含波动率及隐含票息求解、交易日历和观察日程。蒙特卡洛引擎支持 CPU 及可选 CUDA 后端。
安装 Python 包
需要 Python 3.11 或更新版本。从 PyPI 安装：
python -m pip install kiyosi
预编译 wheel 无需本地 C++ 工具链；从源码构建需要 C++23 编译器与 CMake 3.28+。
Python 快速上手
计算一年期欧式看涨期权的价格。利率、股息率和波动率使用小数，利率和股息率采用连续复利。
from datetime import date
from kiyosi.instruments import EuropeanOption
from kiyosi.market import BlackScholesMertonParameters, PricingContext
from kiyosi.pricing import AnalyticVanillaEngine
option = EuropeanOption(
option_type="call",
strike=100.0,
effective_date=date(2025, 1, 1),
expiry_date=date(2026, 1, 1),
)
context = PricingContext(
model_parameters=BlackScholesMertonParameters(
risk_free_rate=0.03,
dividend_yield=0.01,
volatility=0.20,
),
spot_price=100.0,
valuation_time=date(2025, 1, 1),
)
price = AnalyticVanillaEngine().price(option, context)
print(f"Price: {price:.6f}") # 8.827321
许可证
采用 MIT 许可证。
1 maintainer
Metadata
1 maintainer
Release files for kiyosi 0.10.0
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| kiyosi-0.10.0.tar.gz | 550.8 kB | Details |
Built distributions (wheels)
| File | Reset | |||
|---|---|---|---|---|
| kiyosi-0.10.0-cp315-cp315-win_amd64.whl | CPython 3.15 | CPython 3.15 | Windows x86-64 | Details |
| kiyosi-0.10.0-cp315-cp315-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.15 | CPython 3.15 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| kiyosi-0.10.0-cp314-cp314-win_amd64.whl | CPython 3.14 | CPython 3.14 | Windows x86-64 | Details |
| kiyosi-0.10.0-cp314-cp314-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.14 | CPython 3.14 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| kiyosi-0.10.0-cp313-cp313-win_amd64.whl | CPython 3.13 | CPython 3.13 | Windows x86-64 | Details |
| kiyosi-0.10.0-cp313-cp313-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.13 | CPython 3.13 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| kiyosi-0.10.0-cp312-cp312-win_amd64.whl | CPython 3.12 | CPython 3.12 | Windows x86-64 | Details |
| kiyosi-0.10.0-cp312-cp312-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.12 | CPython 3.12 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
| kiyosi-0.10.0-cp311-cp311-win_amd64.whl | CPython 3.11 | CPython 3.11 | Windows x86-64 | Details |
| kiyosi-0.10.0-cp311-cp311-manylinux_2_27_x86_64.manylinux_2_28_x86_64.whl | CPython 3.11 | CPython 3.11 | Linux glibc 2.27+ x86-64, Linux glibc 2.28+ x86-64 | Details |
Total release size: 28.2 MB
Release files / kiyosi-0.10.0.tar.gz
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| Tags | Source |
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