fagan2888 / quantitativefinancepackages

Lunchbox of basic quantitative models in practice

QuantitativeFinancePackages

Option Pricing

Integration.py Integration Methods: - Left Rieman - Midpoint - Gauss Legendre

PricingSimulation.py Methods involved in option pricing simulations, including: - class Random_Number(): to generate random numbers

- class Sto_Process(s_0 , k, r, sigma , tau): to generate stochastic process paths in subclasses
    - subclass: Brownian_Motion
    - subclass: Bachelier_Model
    - subclass: CEV_Process
    - functions: BS_Call, BS_Put, BS_delta

- class Payoff(): to calculate various options' payoff on specified path
    - functions: Euro_Call, Euro_Put
    - functions: Lookback_Call, Lookback_Put
    
- function calculate_implied_volatility(): takes a Sto_Process object to calculate implied volatility on Black-Scholes Model 

FFT.py
Fast fourier transformation for asset pricing, mainly in Heston model.