7 projects
fast-vollib
Modern Black, Black-Scholes, and Black-Scholes-Merton pricing and implied volatility with NumPy, PyTorch, and JAX backends.
optds-wrds
The Adapter. Contains SQL/logic to fetch from WRDS/OptionMetrics and map to Core schemas. | `optds-core`, `sqlalchemy`, `psycopg2` |
optds-iv
The Calculator. Implied volatility, Greeks, Surface interpolation. | `optds-core`, `scipy`, `numba`
optds-io
The Storage Layer. Handles Parquet/Arrow reads/writes, partitioning logic, and directory structures.
optds-core
Core types and schemas for OptDS
rsmlkit
Auxialiary package for running experiments
clevr-parser
PGM factoring, object candidate proposal generator for CLEVR dataset
