{"repo":"jkirkby3/fypy","free":true,"listed":false,"github":"https://github.com/jkirkby3/fypy","clone":"git clone https://github.com/jkirkby3/fypy.git","description":"Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.","language":"Python","stars":145,"topics":["option-pricing","black-scholes","levy-processes","calibration","fourier","quantitative-finance","pricing","levy","options-pricing","finance"],"license":"MIT","category":"trading","readme_excerpt":"FyPy Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data. This library is under active development, although the currently posted features are relatively stable. Currently Supported Models - Black-Scholes - Jump Diffusions: Merton, Kou (Double Exponential) - Levy: (VG, NIG, CGMY/KoBoL, MJD, Kou, Tempered-Stable, Bilateral Gamma, etc) - Stochastic Volatility: Heston - SVJ: Bates, Heston + Double Expo Jumps - SLV: SABR Pricing Methods - Analytical: closed form pricing when available, e.g. Black Scholes - Fourier: PROJ (Frame Projection), Lewis, Gil-Peleaz, Carr-Madan, Hilbert Transform - More in progress (PDE, Monte Carlo, etc) ... Model Calibration - Levy Model Calibration (VG, NIG, CGMY, MJD, Kou, Tempered-Stable, Bilateral Gamma, etc) - Heston Stochastic Volatility Model Calibration - Stochastic Volatility with Jumps Model Calibration - SABR Model calibration Contract types supported (single underlying): - European Options - Barrier Options (Single/Double barrier, and rebates) - Asian Options (Discrete/Continuous) - Discrete Variance Swaps, Variance/Volatility Options - Bermudan/American early-exercise Options - Parisian Options (Cumulative and resetting Parisian barrier options) - Cliquets/Equity Indexed Annuities (Additive/Multiplicative) - Step (Soft Barrier) Options - Lookback/Hindsight Options - Fader","default_branch":null,"files":null,"tree":[],"storefront":"/r/jkirkby3","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/jkirkby3/fypy/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}