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Kiyosi

Kiyosi is an option pricing library with a C++23 core and Python bindings. It provides validated market and instrument types together with analytic, tree-based, finite-difference, integral, and Monte Carlo pricing engines.

Features

• Vanilla, digital, Asian, barrier, accumulator, snowball, and phoenix instruments
• Analytic, binomial, finite-difference, integral, and Monte Carlo engines
• Prices and Greeks through a consistent result type
• Scenario grids, numerical analytics, and implied-value solvers
• Trading calendars and observation schedule builders, including SSE holidays
• Equivalent domain semantics across the Python and C++ APIs

Quick start with Python

Python 3.11 or newer is required:

python -m pip install kiyosi

Price a European call with the analytic Black-Scholes engine:

from datetime import date

from kiyosi.instruments import EuropeanOption, OptionType
from kiyosi.market import BsmParameters, PricingContext
from kiyosi.pricing import AnalyticVanillaEngine

parameters = BsmParameters(
    risk_free_rate=0.05,
    dividend_yield=0.02,
    volatility=0.20,
)
context = PricingContext(
    parameters=parameters,
    asset_price=100.0,
    valuation_time=date(2025, 1, 1),
)
option = EuropeanOption(
    type=OptionType.CALL,
    strike=100.0,
    effective=date(2025, 1, 1),
    expiry=date(2026, 1, 1),
)

result = AnalyticVanillaEngine().price(option, context)
print(result.price, result.delta, result["vega"])

The Python API is organized into three modules:

Domain validation failures raise KiyosiError with a stable ErrorCategory. Python conversion failures use the corresponding built-in exception, such as TypeError or OverflowError.

C++ library

Building the C++ core from source requires CMake 3.28 or newer, Ninja, and a C++23 compiler.

Configure, build, and test with the preset for your platform:

cmake --preset linux-release
cmake --build --preset linux-release
ctest --preset linux-release

Use windows-release on Windows after opening a Visual Studio Developer PowerShell. Other debug, CI, and sanitizer presets are listed in CMakePresets.json.

Install the library and link its exported CMake target:

cmake --install out/build/linux-release --prefix out/install/kiyosi

find_package(kiyosi CONFIG REQUIRED)
target_link_libraries(my_app PRIVATE kiyosi::kiyosi)

#include <kiyosi/kiyosi.hpp>

See examples/all_pricing_engines.cpp for an end-to-end C++ example covering the available instrument and engine families.

License

Kiyosi is available under the MIT License.