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Project description

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mafipy

Description

mathmatical finance in python. Supported methods are belows:

  • replication method
    • QuantoCMS
  • Analytic formula
    • Black Scholes
    • Black
    • SABR
  • Quasi Monte Carlo
    • sobol sequence (cython) up to 21202 dimension

Installation

pip install mafipy

Run examples

git clone https://github.com/i05nagai/mafipy.git
cd mafipy
python examples/plot_smile_curve_sabr.py

You will see the following drawing.

./docs/images/examples/plot_simle_curve_sabr.png

Documentation

Contributing

Set up development environment.

git clone https://github.com/i05nagai/mafipy.git
cd mafipy
git submodule init
git submodule update
pip install -r requirements.txt

Builds

To generate c files,

python setup.py build_ext

Test

To run tests, you additionally need to install pytest.

pip install -r requirements-dev.txt
python setup.py test

Benchmarks

asv is required to execute benchmarks. You can install asv by pip.

pip install asv

Then

# execute benchmarks
python setup.py benchmark
# generate html file from the results
python setup.py benchmark_publish
# preview the generated html through local server
python setup.py benchmark_preview

Project details


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Files for mafipy, version 0.1.dev2
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Filename, size mafipy-0.1.dev2-cp35-cp35m-macosx_10_11_x86_64.whl (1.0 MB) File type Wheel Python version cp35 Upload date Hashes View hashes
Filename, size mafipy-0.1.dev2.tar.gz (78.6 kB) File type Source Python version None Upload date Hashes View hashes

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