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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


pip install mafipy

Run examples

git clone
cd mafipy
python examples/

You will see the following drawing.




Set up development environment.

git clone
cd mafipy
git submodule init
git submodule update
pip install -r requirements.txt


To generate c files,

python build_ext


To run tests, you additionally need to install pytest.

pip install -r requirements-dev.txt
python test


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

pip install asv


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


Suppose that we create the version v.X.Y.Z. We follow PEP0440 compatible versioning rule.

In Circle CI, every built creates release files in master brnach. Make sure that the release files are properly created before releasing.

  1. Create git tag locally

git tag -a vX.Y.Z master
# for testing purpose, in this case, the package will be uploaded to
git tag -a vX.Y.Zdev master
  1. Push git tag to remote

git push origin vX.Y.Z
  1. Circle CI build and run tests. After all tests passed, Circle CI make a release to GitHub and upload wheels to PyPI.

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