quantark 0.1.0__tar.gz

quantark-0.1.0/.gitignore

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+__pycache__/
+*.py[cod]
+*.egg-info/
+.venv/
+venv/
+build/
+dist/
+.pytest_cache/
+.coverage
+htmlcov/
+.ipynb_checkpoints/
+.DS_Store

quantark-0.1.0/CHANGELOG.md

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+# Changelog
+
+All notable changes to this project will be documented in this file.
+The format follows [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
+and the project adheres to [Semantic Versioning](https://semver.org/).
+During 0.x the public API may still change between minor versions.
+
+## [0.1.0] - 2026-06-11
+
+### Added
+- First public release.
+- Equity derivatives: European/American/Asian vanilla options, barrier,
+  one-touch, digital, sharkfin, and autocallable products (snowball,
+  phoenix, KO-reset snowball, range accrual) with analytical, Monte
+  Carlo, PDE, quadrature, and tree engines.
+- Fixed income: fixed bonds, FRNs, bond options, bond forwards/futures,
+  convertible bonds, interest rate swaps.
+- Market data layer (`quantark.param`, `quantark.priceenv`), Greeks
+  calculators, portfolio VaR (parametric/historical/Monte Carlo),
+  ISDA SIMM v2.6, stress testing, multi-day scenario simulation, and a
+  hedging backtest framework.
+- Legacy flat-import compatibility shim (`asset`, `util`, …) with
+  `DeprecationWarning`; slated for removal in 1.0.
+
+### Fixed
+- `SnowballQuadEngine`: the dense-discrete-KI-to-continuous bridge
+  approximation now applies a Broadie-Glasserman-Kou barrier shift to
+  emulate discrete monitoring. Previously the conversion monitored the
+  unshifted barrier continuously, overstating knock-in probability (fair
+  KO-rate bias of up to ~0.9 coupon points vs PDE/MC on daily-KI
+  snowballs). A first-order residual can remain for strongly drifted
+  (deep-carry) underlyings; set
+  `QuadParams.dense_discrete_ki_as_continuous_threshold=0` with a
+  sufficiently fine grid for exact discrete pricing.

quantark-0.1.0/LICENSE

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quantark-0.1.0/NOTICE

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+QuantArk
+Copyright 2026 fuxinyao (https://github.com/deiiiiii93)

quantark-0.1.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: quantark
+Version: 0.1.0
+Summary: Modular derivatives pricing and risk library: options, autocallables, bonds, VaR, SIMM
+Project-URL: Homepage, https://github.com/deiiiiii93/quantark
+Project-URL: Repository, https://github.com/deiiiiii93/quantark
+Project-URL: Issues, https://github.com/deiiiiii93/quantark/issues
+Project-URL: Changelog, https://github.com/deiiiiii93/quantark/blob/main/CHANGELOG.md
+Author-email: fuxinyao <ianchris0113@gmail.com>
+License-Expression: Apache-2.0
+License-File: LICENSE
+License-File: NOTICE
+Keywords: autocallable,derivatives,monte-carlo,option-pricing,pde,quantitative-finance,risk-management,simm,snowball,var
+Classifier: Development Status :: 4 - Beta
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Requires-Python: >=3.10
+Requires-Dist: kaleido>=0.2.1
+Requires-Dist: matplotlib>=3.7.0
+Requires-Dist: numpy>=1.24.0
+Requires-Dist: openpyxl>=3.0.0
+Requires-Dist: pandas>=2.0.0
+Requires-Dist: plotly>=5.14.0
+Requires-Dist: pyarrow>=12.0.0
+Requires-Dist: python-dateutil>=2.8.0
+Requires-Dist: python-docx>=1.0.0
+Requires-Dist: pyyaml>=6.0.0
+Requires-Dist: scipy>=1.10.0
+Requires-Dist: seaborn>=0.12.0
+Provides-Extra: dev
+Requires-Dist: pytest>=7.0.0; extra == 'dev'
+Description-Content-Type: text/markdown
+
+# QuantArk — Financial Derivatives Pricing & Risk Library
+
+[![tests](https://github.com/deiiiiii93/quantark/actions/workflows/tests.yml/badge.svg)](https://github.com/deiiiiii93/quantark/actions/workflows/tests.yml)
+[![PyPI](https://img.shields.io/pypi/v/quantark)](https://pypi.org/project/quantark/)
+[![Python](https://img.shields.io/pypi/pyversions/quantark)](https://pypi.org/project/quantark/)
+[![License: Apache-2.0](https://img.shields.io/badge/license-Apache--2.0-blue.svg)](LICENSE)
+
+A modular, professional-grade Python library for pricing and risk management of financial derivatives.
+
+## Overview
+
+QuantArk is designed with a clean, modular architecture that separates concerns across different components:
+
+- **Products**: Define instrument specifications (options, swaps, etc.)
+- **Processes**: Stochastic models (Black-Scholes-Merton, Heston, Local Vol, etc.)
+- **Engines**: Pricing algorithms (Analytical, Monte Carlo, PDE, Quadrature)
+- **Parameters**: Market data (spot prices, volatility surfaces, rate curves, dividends)
+- **PriceEnv**: Unified pricing environment bundling all market data
+- **RiskMeasures**: Greeks calculation (both analytical and numerical)
+
+## Features
+
+### Current Implementation
+
+- **European Vanilla Options**: Full support for calls and puts
+- **American Options**: Analytical and numerical methods (Barone-Adesi-Whaley, Longstaff-Schwartz)
+- **Black-Scholes-Merton Model**: With continuous dividend yield
+- **Analytical Pricing**: Closed-form Black-Scholes formula
+- **Monte Carlo Engine**: Path-dependent pricing with variance reduction techniques
+- **PDE Engine**: Finite difference methods for American options
+- **Portfolio Value-at-Risk (VaR)**: Three calculation methods
+  - Historical VaR (full revaluation under historical scenarios)
+  - Parametric VaR (variance-covariance with Greeks/DV01)
+  - Monte Carlo VaR (simulation-based with stress testing)
+- **Bond Pricing**: Fixed rate bonds, FRNs, and bond options
+- **Interest Rate Swaps**: Pricing and risk metrics (DV01)
+- **Greeks Calculation**:
+  - Analytical Greeks using closed-form formulas
+  - Numerical Greeks using finite difference method (FDM)
+  - Delta, Gamma, Vega, Theta, Rho, DV01
+- **Robust Error Handling**: Professional exception hierarchy
+- **Numerical Stability**: Careful boundary checking and validation
+
+### Key Design Principles
+
+1. **Modularity**: Each component is independent and reusable
+2. **Extensibility**: Easy to add new products, processes, and engines
+3. **Type Safety**: Extensive use of dataclasses and type hints
+4. **Validation**: Input validation at every level
+5. **Professional Exception Handling**: Custom exception hierarchy for different error types
+
+## Installation
+
+```bash
+pip install quantark
+```
+
+From source / latest development version:
+
+```bash
+pip install git+https://github.com/deiiiiii93/quantark
+```
+
+For development (editable install with test tooling):
+
+```bash
+git clone https://github.com/deiiiiii93/quantark && cd quantark
+python3 -m venv .venv
+.venv/bin/pip install -e ".[dev]"
+.venv/bin/python -m pytest
+```
+
+**Migration note**: imports use the `quantark.*` namespace
+(`from quantark.util.enum import OptionType`). The historical flat
+top-level packages (`asset`, `util`, `param`, …) still work through a
+compatibility shim that aliases them to the same modules and emits a
+`DeprecationWarning` — migrate existing code to `quantark.*` at your
+convenience.
+
+## Quick Start
+
+```python
+from quantark.asset.equity.product.option import EuropeanVanillaOption
+from datetime import datetime
+
+from quantark.asset.equity.engine.analytical import BlackScholesEngine
+from quantark.asset.equity.riskmeasures import GreeksCalculator
+from quantark.param import SpotQuote, FlatVolSurface, FlatRateCurve, ContinuousDividendYield
+from quantark.priceenv import PricingEnvironment
+from quantark.util.enum import OptionType
+
+# Set up market data
+spot = SpotQuote(spot=100.0)
+vol = FlatVolSurface(volatility=0.20)  # 20% vol
+rate = FlatRateCurve(rate=0.05)  # 5% risk-free rate
+div = ContinuousDividendYield(div_yield=0.02)  # 2% dividend yield
+
+pricing_env = PricingEnvironment(
+    spot_quote=spot,
+    vol_surface=vol,
+    rate_curve=rate,
+    div_yield=div,
+    valuation_date=datetime(2024, 1, 1),
+)
+
+# Create a European call option
+call_option = EuropeanVanillaOption(
+    strike=100.0,
+    maturity=1.0,  # 1 year
+    option_type=OptionType.CALL
+)
+
+# Price the option
+engine = BlackScholesEngine()
+price = engine.price(call_option, pricing_env)
+print(f"Call Price: ${price:.6f}")
+
+# Calculate Greeks
+greeks_calc = GreeksCalculator()
+analytical_greeks = greeks_calc.calculate_analytical_greeks(
+    call_option, pricing_env, price
+)
+
+print(f"Delta: {analytical_greeks['delta']:.6f}")
+print(f"Gamma: {analytical_greeks['gamma']:.6f}")
+print(f"Vega:  {analytical_greeks['vega']:.6f}")
+print(f"Theta: {analytical_greeks['theta']:.6f} (per day)")
+print(f"Rho:   {analytical_greeks['rho']:.6f}")
+
+```
+
+For portfolio Value-at-Risk (parametric, historical, and Monte Carlo engines
+with risk-factor attribution), see the runnable demos:
+`example/parametric_var_demo.py`, `example/portfolio_var_demo.py`, and
+`example/var_backtest_demo.py`.
+
+## Batch-Friendly Engine Params
+
+For QUAD/PDE batch pricing, you can use named presets, factory helpers, or YAML/JSON
+configs instead of tuning many individual parameters.
+
+```python
+from quantark.asset.equity.param import make_quad_params, make_pde_params
+
+quad_params = make_quad_params(profile="barrier_sensitive")
+pde_params = make_pde_params(profile="balanced")
+```
+
+Engine parameter presets accept either preset names or explicit config objects; see the docstrings in `quantark/asset/equity/param/` for the full schema.
+
+## RQMC Target Std Scaling (MC Benchmarking)
+
+Randomized QMC uses a target standard error for adaptive batching. For large
+notionals, prefer relative scaling to avoid overly strict absolute tolerances:
+
+```python
+from quantark.asset.equity.param import MCParams
+
+mc_params = MCParams(
+    num_paths=100000,
+    rqmc_target_std=1e-4,  # 1 bp relative
+    rqmc_target_std_mode="relative_notional",
+    rqmc_paths_mode="total",
+)
+```
+
+## Running the Demo
+
+A comprehensive demonstration is provided:
+
+```bash
+python example/european_option_demo.py
+```
+
+The demo showcases:
+1. European Call option pricing and Greeks
+2. European Put option pricing and Greeks
+3. Put-Call Parity verification
+4. Comparison between analytical and numerical Greeks
+
+## Project Structure
+
+```
+QuantArk/
+├── asset/              # Asset classes
+│   ├── equity/
+│   │   ├── engine/     # Pricing engines
+│   │   │   ├── analytical/
+│   │   │   ├── mc/
+│   │   │   ├── pde/
+│   │   │   └── quad/
+│   │   ├── param/      # Engine parameters
+│   │   ├── process/    # Stochastic processes
+│   │   │   ├── bsm/
+│   │   │   ├── heston/
+│   │   │   ├── localvol/
+│   │   │   └── slv/
+│   │   ├── product/    # Derivative products
+│   │   │   └── option/
+│   │   └── riskmeasures/  # Greeks calculation
+│   ├── bond/          # Fixed income instruments
+│   │   ├── engine/    # Bond pricing engines
+│   │   ├── product/   # Bond products
+│   │   └── riskmeasures/  # Bond risk measures
+│   └── rate/          # Interest rate derivatives
+│       ├── engine/    # IR pricing engines
+│       ├── product/   # IR products
+│       └── riskmeasures/  # IR risk measures
+├── param/              # Market data parameters
+│   ├── div/           # Dividend yields
+│   ├── quote/         # Spot quotes
+│   ├── rrf/           # Risk-free rates
+│   └── vol/           # Volatility surfaces
+├── priceenv/          # Pricing environment
+├── var/               # Value-at-Risk (VaR) calculations
+│   ├── engines/       # VaR calculation engines
+│   │   ├── historical.py  # Historical VaR
+│   │   ├── parametric.py  # Parametric VaR
+│   │   └── monte_carlo.py # Monte Carlo VaR
+│   ├── risk_factors/  # Risk factor models
+│   │   ├── base.py
+│   │   ├── equity_factors.py
+│   │   └── fi_factors.py
+│   ├── backtest/      # VaR backtesting framework
+│   ├── base.py        # VaR base classes
+│   └── config.py      # VaR configuration
+├── portfolio/         # Portfolio management
+│   ├── equity/        # Equity portfolios
+│   └── fi/            # Fixed income portfolios
+├── backtest/          # Hedging strategy backtesting
+├── dynamicscenario/   # Multi-day scenario simulation
+├── stresstest/        # Stress testing framework
+├── util/              # Utilities
+│   ├── enum/          # Enumerations
+│   └── exceptions.py  # Exception hierarchy
+├── example/           # Example scripts
+└── test/              # Unit tests
+```
+
+## Exception Hierarchy
+
+QuantArk uses a professional exception hierarchy:
+
+- `QuantArkException`: Base exception
+  - `ValidationError`: Invalid input parameters
+  - `NumericalError`: Numerical instability/convergence issues
+  - `MarketDataError`: Missing or invalid market data
+  - `PricingError`: General pricing failures
+
+## Numerical Stability
+
+The Black-Scholes engine includes extensive checks for numerical stability:
+
+- Input parameter validation (spot, strike, volatility, rates)
+- Overflow protection in exponential calculations
+- Boundary condition handling (near expiry, deep ITM/OTM)
+- Sanity checks on computed prices vs intrinsic values
+- Extreme parameter detection and rejection
+
+## Roadmap
+
+### Short-term
+- [x] American options (analytical and numerical methods)
+- [ ] Asian options
+- [ ] Barrier options
+- [x] Monte Carlo engine implementation
+- [x] PDE engine implementation
+- [x] Portfolio VaR calculations
+- [x] Fixed income instruments (bonds, swaps)
+
+### Medium-term
+- [ ] Heston stochastic volatility model
+- [ ] Local volatility model
+- [ ] Credit derivatives
+- [ ] Calibration framework
+- [ ] XVA calculations
+- [ ] Multi-asset derivatives
+- [ ] Hybrid models
+
+### Long-term
+- [ ] Performance optimization (Cython, GPU)
+- [ ] Real-time risk metrics
+- [ ] Portfolio optimization
+- [ ] Market data integration
+- [ ] Cloud deployment support
+
+## Contributing
+
+Contributions are welcome! Please follow these guidelines:
+
+1. Follow the existing code structure and style
+2. Add comprehensive docstrings
+3. Include unit tests for new features
+4. Validate inputs and handle edge cases
+5. Add professional error handling
+
+## Disclaimer
+
+QuantArk is provided for research and educational purposes. It is not
+investment advice, and no warranty is made as to the correctness of any
+price, risk figure, or model output. Validate independently before any
+production or trading use. See the LICENSE file for the full terms.
+
+## License
+
+Apache License 2.0 — see [LICENSE](LICENSE) and [NOTICE](NOTICE).
+
+## Acknowledgments
+
+- Black-Scholes-Merton model from Fischer Black, Myron Scholes, and Robert Merton
+- Greeks formulas from standard derivatives textbooks
+- Design patterns inspired by QuantLib and similar professional libraries