QuanTorch is a comprehensive derivatives pricing library built on top of PyTorch. It provides a range of tools for asset pricing, risk management, and model calibration based on PyTorch's GPU accelerateion and automatic differentiation.
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Asset Pricing:
- Option pricing models including Black-Scholes-Merton, binomial tree, and Monte Carlo simulations.
- Bond pricing models including callable, putable, and convertible bonds.
- Advanced options support for American, Bermudan, Asian, barrier and look-back options.
- Implied volatility calculation using "Let's be rational" algorithm.
- Futures and currency pricing.
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Risk Management:
- Greeks calculation utilizing Malliavin calculus.
- Scenario analysis and stress testing.
- Market risk measures such as VaR and Expected Shortfall.
- Credit risk models including structural and reduced form models.
- Valuation adjustments (CVA, DVA, MVA, FVA).
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Model Calibration:
- Calibration for stochastic models like Heston, Vasicek, SABR, and more.
- Local volatility models including Dupire.
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Machine Learning and Reinforcement Learning:
- Regression and classification models using PyTorch.
- Reinforcement learning examples.
You can install QuanTorch via pip:
pip install -U quantorch
import torch
from quantorch.core.asset_pricing.option_pricing.american_option import american_option
spot = torch.tensor(100.0)
strike = torch.tensor(105.0)
expiry = torch.tensor(1.0)
volatility = torch.tensor(0.2)
rate = torch.tensor(0.05)
steps = 100
price = american_option('call', spot, strike, expiry, volatility, rate, steps)
print(f'American Option Price: {price.item()}')
import torch
from quantorch.core.asset_pricing.option_pricing.bermudan_option import bermudan_option
spot = torch.tensor(100.0)
strike = torch.tensor(105.0)
expiry = torch.tensor(1.0)
volatility = torch.tensor(0.2)
rate = torch.tensor(0.05)
steps = 100
exercise_dates = torch.tensor([30, 60, 90])
price = bermudan_option('call', spot, strike, expiry, volatility, rate, steps, exercise_dates)
print(f'Bermudan Option Price: {price.item()}')
import torch
from quantorch.core.asset_pricing.option_pricing.asian_option import asian_option
spot = torch.tensor(100.0)
strike = torch.tensor(105.0)
expiry = torch.tensor(1.0)
volatility = torch.tensor(0.2)
rate = torch.tensor(0.05)
steps = 100
price = asian_option('call', spot, strike, expiry, volatility, rate, steps)
print(f'Asian Option Price: {price.item()}')
import torch
from quantorch.risk_management.greeks.malliavin import malliavin_greek
option_price = torch.tensor(10.0)
underlying_price = torch.tensor(100.0)
volatility = torch.tensor(0.2)
expiry = torch.tensor(1.0)
greek = malliavin_greek(option_price, underlying_price, volatility, expiry)
print(f'Malliavin Greek: {greek.item()}')
import torch
from quantorch.calibration.heston_calibration import calibrate_heston
market_prices = torch.tensor([10.0, 12.0, 14.0, 16.0])
strikes = torch.tensor([100.0, 105.0, 110.0, 115.0])
expiries = torch.tensor([1.0, 1.0, 1.0, 1.0])
spot = torch.tensor(100.0)
rate = torch.tensor(0.05)
params = calibrate_heston(market_prices, strikes, expiries, spot, rate)
print(f'Calibrated Heston Parameters: {params}')
import torch
from quantorch.risk_management.credit_risk.structural_model import merton_model
from quantorch.risk_management.credit_risk.reduced_form_model import reduced_form_model
asset_value = torch.tensor(100.0)
debt = torch.tensor(80.0)
volatility = torch.tensor(0.2)
rate = torch.tensor(0.05)
expiry = torch.tensor(1.0)
# Merton Model
equity_value = merton_model(asset_value, debt, volatility, rate, expiry)
print(f'Equity Value (Merton Model): {equity_value.item()}')
lambda_0 = torch.tensor(0.02)
default_intensity = torch.tensor(0.05)
recovery_rate = torch.tensor(0.4)
time = torch.tensor(1.0)
# Reduced Form Model
expected_loss = reduced_form_model(lambda_0, default_intensity, recovery_rate, time)
print(f'Expected Loss (Reduced Form Model): {expected_loss.item()}')
- Develop an interactive dashboard for visualizing risk metrics and option pricing.
- Add support for more asset classes such as commodities and real estate.
- Enhance the calibration module to support a broader range of models and optimization techniques.
To contribute to QuanTorch, clone the repository and install the required dependencies:
git clone https://github.com/jialuechen/quantorch.git
cd quantorch
pip install -r requirements.txt
Run the tests to ensure everything is working:
pytest
This project is licensed under the Apache License 2.0. See the LICENSE file for details.