https://github.com/opendoor-labs/pyfin

Basic options pricing in Python
https://github.com/opendoor-labs/pyfin

Last synced: 3 months ago
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Basic options pricing in Python

• Host: GitHub
• URL: https://github.com/opendoor-labs/pyfin
• Owner: opendoor-labs
• License: mit
• Archived: true
• Created: 2014-11-20T15:49:57.000Z (almost 10 years ago)
• Default Branch: master
• Last Pushed: 2014-12-03T18:28:00.000Z (almost 10 years ago)
• Last Synced: 2024-04-17T10:58:34.084Z (7 months ago)
• Language: Python
• Homepage:
• Size: 150 KB
• Stars: 302
• Watchers: 43
• Forks: 97
• Open Issues: 5
• Metadata Files:
  • Readme: README.md
  • Changelog: HISTORY.rst
  • Contributing: CONTRIBUTING.rst
  • License: LICENSE

Awesome Lists containing this project

• awesome-quant - pyfin - Basic options pricing in Python. [ARCHIVED] (Python / Financial Instruments and Pricing)
• awesome-quant - pyfin - Basic options pricing in Python. *ARCHIVED* (Python / Financial Instruments and Pricing)

README

        
# pyfin

-------

[](http://badge.fury.io/py/pyfin)

[](https://travis-ci.org/opendoor-labs/pyfin)

[](https://pypi.python.org/pypi/pyfin)

###### Basic options pricing in Python

“Oh cool. Probably a little easier than spinning up the QuantLib stack.” — [Wes McKinney](https://github.com/wesm), creator of [Pandas](https://github.com/pydata/pandas)

### Features

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* Option valuation w/ Black-Scholes, lattice (binomial tree), and Monte Carlo simulation models.

* Basic Greeks calculation (delta, theta, rho, vega, gamma) across each valuation model.

* Discrete dividends support in the lattice (binomial tree) and Monte Carlo simulation models.

* Early exercise (American options) support in Monte Carlo simulation through the Longstaff-Schwartz technique.

* Minimal dependencies, just Numpy & SciPy.

* Free software, released under the MIT license.