Quant

All-in-one open-source quant library that values simplicity and elegance, to democratize those ‘proprietary techniques’.

Philosophy

Build a set of clean APIs that simplify the daily routine part and cliches of a quant’s job and help you better focus on what are really important, which is the structure design.

Installation

pip install quant

Hello World

import quant as qt
qt.bsm_option_pricer(type = 'eu',strike = '10',vol = 0.2,expiration = '365') - Needs Improvements

Core Functions

1. Option Pricing
   • Equity (Vanilla, Binary, Lookback, Asian)
   • Fixed Income (Swap, Cap/Floor, Swaptions)
   • Other Tools (Vasicek estimation, Debt pricing)
   • BSM
   • Binary Tree
   • Monte-carlo Simulation
2. Visualization
   • Profit Graph for Options Strategies
3. Backtesting
4. Common Trading Strategies
   • Pair Trade
   • Multi-factors
   • Smart-beta
   • Absolute Aplha
   • Risk Timing
5. Options Strategies
   • Straddle/Strangle
   • Bull/Bear Spread
   • Butterfly
   • Box Spread
   • Calender
   • Protective Put
   • Covered Call
6. Arbitrage Finder
   • Statistical Arbitrage
   • Convertible Bonds Arbitrage
   • Triangle Arbitrage
7. Instrument Lists
   • Country-specificied
   • Specifications

References

1. DerivaGem 3.0 by ‘Wall Street Bible’
2. Matlab Quant Finance Model