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GitHub / jkirkby3 / 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.
JSON API: https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/jkirkby3%2Ffypy
Stars: 62
Forks: 21
Open Issues: 0
License: mit
Language: Python
Repo Size: 323 KB
Dependencies:
18
Created: about 3 years ago
Updated: about 1 month ago
Last pushed: about 1 month ago
Last synced: about 1 month ago
Topics: black-scholes, calibration, finance, fourier, heston, levy, levy-processes, option-pricing, options-pricing, pricing, python, quant, quantitative-finance, quantitative-trading, sabr, stochastic-volatility, variance-gamma
Files
Dependencies
- Pillow ==8.2.0
- cycler ==0.10.0
- kiwisolver ==1.3.1
- llvmlite ==0.36.0
- matplotlib ==3.4.1
- numpy >=1.20.2
- pandas >=1.2.4
- py_lets_be_rational >=1.0.1
- pyparsing ==2.4.7
- python-dateutil ==2.8.1
- pytz ==2021.1
- requests-cache *
- scipy >=1.6.2
- seaborn *
- setuptools *
- six ==1.15.0
- yfinance *