DerivX

V0.3.1-Beta Build 20210903

© 2021-2021 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.
• Exotic Autocall Phoenix / Snowball option pricing and greek value calculation.
• 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

Benchmark

Environment:

Parameters:

C++:

    Autocall Snowball:

1. There is still 200ms optimization space.
2. As run_days increases this tends to CalcPayoff's time consumption.
3. The difference between CalcCoupon and CalcPayoff shows that different prices and barriers will cause different time consumption.

Contact Information

QQ: 277195007, WeChat: xrd_ustc, E-mail: xrd@ustc.edu