Kiyosi
Kiyosi is a C++23 library for pricing vanilla, exotic, and structured derivatives, with Python bindings.
Features
- Vanilla, digital, Asian, barrier, accumulator, snowball, and phoenix instruments
- Analytic, tree-based, finite-difference, integral, and Monte Carlo pricing engines, with optional CUDA support for Monte Carlo
- Price-only valuation or on-demand calculation of selected Greeks
- Numerical analytics and solvers for implied volatility and coupons
- Trading calendars and observation schedule builders, including the SSE calendar
- A C++ core that builds independently of the Python bindings
Quick start with Python
Install Kiyosi from PyPI with Python 3.11 or newer:
python -m pip install kiyosi
Prebuilt x64 wheels are available for Windows and Linux. Installation on other platforms builds from source and requires CMake 3.28 or newer, Ninja, and a C++23 compiler.
Calculate the price of a European call with the analytic Black-Scholes engine:
from datetime import date
from kiyosi.instruments import EuropeanOption
from kiyosi.market import BlackScholesMertonParameters, PricingContext
from kiyosi.pricing import AnalyticVanillaEngine
valuation = date(2025, 1, 1)
option = EuropeanOption(
option_type="call",
strike=100.0,
effective_date=valuation,
expiry_date=date(2026, 1, 1),
)
context = PricingContext(
model_parameters=BlackScholesMertonParameters(
risk_free_rate=0.05,
dividend_yield=0.02,
volatility=0.20,
),
spot_price=100.0,
valuation_time=valuation,
)
engine = AnalyticVanillaEngine()
print(engine.price(option, context))
C++ library
The C++ core requires CMake 3.28 or newer, Ninja, and a C++23 compiler. On Linux, build, test, and install it with:
cmake --workflow --preset linux-release
cmake --install out/build/linux-release
On Windows, run the commands in a Visual Studio Developer PowerShell, replacing linux-release with windows-release.
After installation, link the exported CMake target:
find_package(kiyosi CONFIG REQUIRED)
target_link_libraries(my_app PRIVATE kiyosi::kiyosi)
Include the umbrella header with #include <kiyosi/kiyosi.hpp>. For examples of additional instruments and pricing engines, see examples/all_pricing_engines.cpp.
Validation
Pricing tests compare Kiyosi's results with reference values generated independently using QuantLib. QuantLib is used by the reference-generation tooling and is not required to build or run the C++ core. See the pricing benchmark matrix for performance comparisons.
License
Kiyosi is available under the MIT License.
1 maintainer
Metadata
1 maintainer
Release files for kiyosi 0.9.0
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-0.9.0.tar.gz | 417.4 kB | Details |
Built distributions (wheels)
| File | Reset | |||
|---|---|---|---|---|
| kiyosi-0.9.0-cp314-cp314-win_amd64.whl | CPython 3.14 | CPython 3.14 | Windows x86-64 | Details |
| kiyosi-0.9.0-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-0.9.0-cp313-cp313-win_amd64.whl | CPython 3.13 | CPython 3.13 | Windows x86-64 | Details |
| kiyosi-0.9.0-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-0.9.0-cp312-cp312-win_amd64.whl | CPython 3.12 | CPython 3.12 | Windows x86-64 | Details |
| kiyosi-0.9.0-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-0.9.0-cp311-cp311-win_amd64.whl | CPython 3.11 | CPython 3.11 | Windows x86-64 | Details |
| kiyosi-0.9.0-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: 17.3 MB
Release files / kiyosi-0.9.0.tar.gz
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| Size | 417.4 kB |
| Tags | Source |
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