V0.3.6-Beta Build 20211208

© 2021-2021 Xu Rendong. All Rights Reserved.

Derivatives Pricing Engine.

• Single / Double Barrier European option pricing and greek value calculation.
• Plain Vanilla European / American options portfolio calculation.
• Plain Vanilla European / American option pricing and greek value calculation.
• Exotic Autocall Booster / Phoenix / Snowball option pricing and greek value calculation.
• Stochastic Diffusion Processes and Stochastic Volatility Models.
• Interfaces and examples for C++, Python, JavaScript.

pip install derivx

npm install derivx

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

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

Please refer to changes file.

Please refer to benchmark file.

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