exotx

exotx is a Python wrapper for the QuantLib library, a powerful open-source library for quantitative finance. exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical methods.

Installation

To install exotx, simply use pip:

pip install exotx

Usage

Define the product

Vanilla Option

import exotx
from exotx.instruments import OptionType
strike = 90 option_maturity = '2016-05-04' myvanillaoption = exotx.VanillaOption(strike, option_maturity, OptionType.CALL)

Auto-Callable

notional = 100
strike = 100.0
autocallbarrierlevel = 1.0  # 100%
annualcouponvalue = 0.03  # 3.00%
couponbarrierlevel = 0.75  # 75%
protectionbarrierlevel = 0.75  # 75%
myautocallable = exotx.Autocallable(notional, strike, autocallbarrierlevel, annualcouponvalue, couponbarrierlevel, protectionbarrier_level)

Define the static data

The object that represents static data such as the calendar, the day counter or the business day convention used.

From the constructor

mystaticdata = exotx.StaticData(daycounter='Actual360', businessday_c)

From JSON

my_json = {
    'day_counter': 'Actual360',
    'businessdayconvention': 'ModifiedFollowing'
}
mystaticdata = exotx.StaticData.fromjson(myjson)

Define the market data

From the constructor

reference_date = '2015-11-06'
spot = 100.0
riskfreerate = 0.01
dividend_rate = 0.0
blackscholesvolatility = 0.2
mymarketdata = exotx.MarketData(referencedate, spot, riskfreerate, dividendrate, blackscholesvolatility=blackscholesvolatility)

From JSON

my_json = {
    'reference_date': '2015-11-06',
    'spot': 100,
    'riskfreerate': 0.01,
    'dividend_rate': 0,
    'blackscholesvolatility': 0.2
}
mymarketdata = exotx.MarketData.fromjson(myjson)

Price the product

Vanilla Option

from exotx.enums import PricingModel, NumericalMethod
mypricingconfig = exotx.PricingConfiguration(PricingModel.BLACKSCHOLES, NumericalMethod.ANALYTIC, computegreeks=True) exotx.price(myvanillaoption, mymarketdata, mystaticdata, mypricingconfig)

>>> {      'price': 13.83328710,      'delta': 0.77183751,      'gamma': 0.01609460,      'theta': -7.01024983 }

Auto-Callable

exotx.price(myautocallable, mymarketdata, mystatic_data, model='black-scholes')

>>> 96.08517973497098

Contributing

We welcome contributions to exotx! If you find a bug or would like to request a new feature, please open an issue on the Github repository. If you would like to contribute code, please submit a pull request.

License

exotx is released under the MIT License.