qdlib

Installation

Since this is currently on TestPyPI, install it using:

pip install -i https://test.pypi.org/simple/ qdlib

A structured Python library for foundational and intermediate quantitative derivatives models, numerical pricing methods, volatility models, calibration workflows, and explanatory notebooks.

What this project is

qdlib is designed as a clean, educational, and reusable quant library.

The goal is not just to store scripts, but to organize core derivatives models in a way that is:

mathematically sound
easy to navigate
reusable as a Python package
supported by examples, tests, and notebooks

This repository focuses on core pricing models and numerical methods rather than exotic contract design. Exotic options are intended to live in a separate dedicated project.

Scope

The library currently covers the following areas:

pricing foundations
lattice methods
Monte Carlo methods
PDE and ODE methods
stochastic volatility
jump models
local volatility
SABR
calibration workflows
transform methods
empirical preprocessing

The emphasis throughout is on clarity, correctness, and structure.

Repository structure

quant-derivatives-library/
├── README.md
├── pyproject.toml
├── requirements.txt
├── src/
│   └── qdlib/
├── examples/
├── tests/
├── notebooks/
├── data/
└── docs/

License

This project is licensed under the MIT License - see the LICENSE file for details.

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