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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
Project details
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