finmc

This package contains Monte-Carlo implementations of many financial models derived from a common interface class. This interface allows computation of instruments with european, and american payoffs, as well as path dependent calculations.

See complete documentation here.

Install it from PyPI

pip install finmc

Example

This is an example of pricing a vanilla option using the local volatility model.

import numpy as np
from finmc.models.localvol import LVMC
from finmc.calc.option import opt_price_mc

# Define Dataset with zero rate curve, and forward curve.
dataset = {
    "MC": {"PATHS": 100_000, "TIMESTEP": 1 / 250},
    "BASE": "USD",
    "ASSETS": {
        "USD":("ZERO_RATES", np.array([[2.0, 0.05]])),
        "SPX": ("FORWARD", np.array([[0.0, 5500], [1.0, 5600]])),
        },
    "LV": {"ASSET": "SPX", "VOL": 0.3},
}

model = LVMC(dataset)
price = opt_price_mc(5500.0, 1.0, "Call", "SPX", model)