Metadata-Version: 2.1
Name: pyfeng
Version: 0.1.5
Summary: Python Financial Engineering
Home-page: https://github.com/PyFE/PyFENG
Author: Jaehyuk Choi
Author-email: pyfe@eml.cc
License: UNKNOWN
Project-URL: Bug Tracker, https://github.com/PyFE/PyFENG/issues
Description: # PyFENG: Python Financial ENGineering
        [![PyPI version](https://badge.fury.io/py/pyfeng.svg)](https://pypi.org/project/pyfeng/)
        
        PyFENG is the python implemention of the standard option pricing models in financial engineering.
          * Black-Scholes-Merton (and displaced diffusion)
          * Bachelier (Normal)
          * Constant-elasticity-of-variance (CEV)
          * Stochastic-alpha-beta-rho (SABR)
          * Hyperbolic normal stochastic volatility model (NSVh)
        
        ## About the package
        * It assumes variables are `numpy` arrays. So the computations are naturally vectorized.
        * It is purely in Python (i.e., no C, C++, cython). 
        * It is implemented with python class.
        * It is intended for, but not limited to, academic use. By providing reference models, it saves researchers' time. 
        
        ## Installation
        ```sh
        pip install pyfeng
        ```
        For upgrade,
        ```sh
        pip install --upgrade pyfeng
        ```
        
        ## Code Snippets
        `In [1]:`
        ```python
        import numpy as np
        import pyfeng as pf
        m = pf.Bsm(sigma=0.2, intr=0.05, divr=0.1)
        m.price(strike=np.arange(80, 121, 10), spot=100, texp=1.2)
        ```
        `Out [1]:`
        ```
        array([15.71361973,  9.69250803,  5.52948546,  2.94558338,  1.48139131])
        ```
        
        `In [2]:`
        ```python
        sigma = np.array([[0.2], [0.5]])
        m = pf.Bsm(sigma, intr=0.05, divr=0.1) # sigma in axis=0
        m.price(strike=[90, 95, 100], spot=100, texp=1.2, cp=[-1,1,1])
        ```
        `Out [2]:`
        ```
        array([[ 5.75927238,  7.38869609,  5.52948546],
               [16.812035  , 18.83878533, 17.10541288]])
        ```
        
        ## Author
        * Prof. [Jaehyuk Choi](https://jaehyukchoi.net/phbs_en) (Peking University HSBC Business School). Email: pyfe@eml.cc
        
        ## Others
        * See also [FER: Financial Engineering in R](https://cran.r-project.org/package=FER) developed by the same author.
        Not all models in `PyFENG` is implemented in `FER`. `FER` is a subset of `PyFENG`. 
        
Platform: UNKNOWN
Description-Content-Type: text/markdown
