DerivX

V0.3.7.1-Beta Build 20220121

© 2021-2022 Xu Rendong. All Rights Reserved.

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Derivatives Pricing Engine.
+ Plain Vanilla European / American options portfolio calculation.
+ Plain Vanilla European / American option pricing and greek value calculation.
+ Single Barrier / SharkFin option pricing and greek value calculation.
+ Exotic Autocall Booster / Phoenix / Snowball option pricing and greek value calculation.
+ Stochastic Diffusion Processes and Stochastic Volatility Models.
+ Interfaces and examples for C++, Python, JavaScript.

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##### C++:
``

bash





##### Python:

bash

pip install derivx





##### JavaScript:

bash

npm install derivx





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##### C++:

c++





##### Python:

python

import derivx

print(derivx.Version())



For more usages please refer to examples in derivx_py folder.



DerivX is not dependent on numpy, pandas and matplotlib, but if you want to run examples, you'd better install them with:

bash

pip install numpy pandas matplotlib





##### JavaScript:

javascript

const derivx = require('derivx')

console.log(derivx.Version())



For more usages please refer to examples in derivx_js folder.



DerivX is not dependent on numjs, but if you want to run examples, you'd better install it with:

bash

npm install git+https://github.com/nicolaspanel/numjs.git

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Please refer to changes file.

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Please refer to benchmark file.

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