Nick Collins nick@vividx.co.uk
https://github.com/ncollins/pyquantfi
PyQuantFi is a simple quantitative finance library written in Python. It is adapted from the approach in the book "C++ Design Patterns and Derivatives Pricing" by Mark Joshi, but with a more "pythonic" style. Currently it has features covered in the first 6 chapters, including classes for options, payoffs, parameters, random number generators and statistics gathering.
PyQuantFi only requires the Python Standard Library, it does not use any additional libraries written in C (e.g. NumPy, SciPy). This limits its speed when running on CPython but means it will run on a wider range of Python implementations, including PyPy and Jython.
While I've performed a few "reasonability" tests against QuantLib (using RQuantLib), I'm not yet willing to endorse the acuracy of the results. I intend to add some more extensive testing scripts in the future.