abaquant.derivatives.numerics

Import path: abaquant.derivatives.numerics

Domain: Derivative pricing, simulation, calibration, diagnostics, and strategy analysis.

Package purpose

Numerical routines for advanced derivatives.

How to use this package

Defines the package facade and supported import surface. Use this package when valuing contingent claims, calculating Greeks, building option strategies, simulating stochastic processes, or fitting models to market observations.

Package reference

Numerical routines for advanced derivatives.

Purpose

The package provides Fourier-inversion and implied-volatility algorithms used by the advanced pricing models.

Conventions

Numerical grids, tolerances, and iteration limits are explicit function parameters.

References

[ 1 ] Carr, P., and D. B. Madan (1999), “Option Valuation Using the Fast Fourier Transform”. [ 2 ] Black, F., and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities”; Merton, R. C. (1973), “Theory of Rational Option Pricing”.

Modules

• abaquant.derivatives.numerics.carr_madan_fft
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference
• abaquant.derivatives.numerics.implied_volatility
  • Purpose
  • When to use it
  • Public objects
  • Detailed reference