Derivatives Pricing Engine
Project description
DerivX
V0.3.7.1-Beta Build 20220121
© 2021-2022 Xu Rendong. All Rights Reserved.
Project Summary
Derivatives Pricing Engine.
- Plain Vanilla European / American options portfolio calculation.
- Plain Vanilla European / American option pricing and greek value calculation.
- Single Barrier / SharkFin option pricing and greek value calculation.
- Exotic Autocall Booster / Phoenix / Snowball option pricing and greek value calculation.
- Stochastic Diffusion Processes and Stochastic Volatility Models.
- Interfaces and examples for C++, Python, JavaScript.
Install
C++:
Python:
pip install derivx
JavaScript:
npm install derivx
Usage
C++:
Python:
import derivx
print(derivx.Version())
For more usages please refer to examples in derivx_py folder.
DerivX is not dependent on numpy, pandas and matplotlib, but if you want to run examples, you'd better install them with:
pip install numpy pandas matplotlib
JavaScript:
const derivx = require('derivx')
console.log(derivx.Version())
For more usages please refer to examples in derivx_js folder.
DerivX is not dependent on numjs, but if you want to run examples, you'd better install it with:
npm install git+https://github.com/nicolaspanel/numjs.git
Changes
Please refer to changes file.
Benchmark
Please refer to benchmark file.
Contact Information
QQ: 277195007, WeChat: xrd_ustc, E-mail: xrd@ustc.edu
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