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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

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Files for mafipy, version 0.1.dev2
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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