GitHub - reder2000/pyblsc: High performance Black & Scholes computation for python

Efficient Black Scholes module for python : millions of prices/greeks per sec, hundred of ks of immplied vols per sec.

There are so many libraries that just implement BS for python, but none takes it to the needed level
- setup
  - you'll need boost.math, intel tbb, fmt and catch2
  - one may need to set something like CMAKE_ARGS=-DCMAKE_TOOLCHAIN_FILE=C:/dev/vcpkg-pybind11/scripts/buildsystems/vcpkg.cmake if you're using vcpkg
  - just run pip install ./pyblsc
prices/delta/gamma/vega and implied vol are parallelized above a certain threshold
TODO:
- add simd (when EVE is ported to windows maybe)
- port to pypi
- contributions welcome

Name		Name	Last commit message	Last commit date
Latest commit History 26 Commits
tests		tests
.gitignore		.gitignore
CMakeLists.txt		CMakeLists.txt
LICENSE		LICENSE
README.md		README.md
bs.cpp		bs.cpp
bs.h		bs.h
bsv.cpp		bsv.cpp
bsv.h		bsv.h
config.h.in		config.h.in
demo.py		demo.py
demo_impliedvol_noQ.py		demo_impliedvol_noQ.py
demo_noQ.py		demo_noQ.py
erf_cody.cpp		erf_cody.cpp
fbs.cpp		fbs.cpp
fbs.h		fbs.h
format.h		format.h
lets_be_rational.cpp		lets_be_rational.cpp
lets_be_rational.h		lets_be_rational.h
normaldistribution.cpp		normaldistribution.cpp
normaldistribution.h		normaldistribution.h
pybs.cpp		pybs.cpp
rando.cpp		rando.cpp
rando.h		rando.h
rationalcubic.cpp		rationalcubic.cpp
rationalcubic.h		rationalcubic.h
setup.py		setup.py

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