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Project description
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.
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
Release history Release notifications
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| Filename, size | File type | Python version | Upload date | Hashes |
|---|---|---|---|---|
| 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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