What is finmc?
The finmc package contains Monte-Carlo implementations of many financial models derived from a common interface class. This interface allows computation of instruments with european, and american payoffs, as well as path dependent calculations.
Why do we need a common interface?
- Plots and other utilities shared by all models.
- Price Calculators are model invariant.
- Interace designed for high performance with a large number of paths.
- Many new models outside this package, by indepedent contributors, and yet compatible with above utilities and calculators.
Getting started.
Install it from PyPI
This is an example of pricing a vanilla option using the local volatility model.
import numpy as np
from finmc.models.localvol import LVMC
from finmc.calc.option import opt_price_mc
# Define Dataset with zero rate curve, and forward curve.
dataset = {
"MC": {"PATHS": 100_000, "TIMESTEP": 1 / 250},
"BASE": "USD",
"ASSETS": {
"USD":("ZERO_RATES", np.array([[2.0, 0.05]])),
"SPX": ("FORWARD", np.array([[0.0, 5500], [1.0, 5600]])),
},
"LV": {"ASSET": "SPX", "VOL": 0.3},
}
model = LVMC(dataset)
price = opt_price_mc(5500.0, 1.0, "Call", "SPX", model)