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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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