Quant Forge

Quant Forge is an open-source Python library under active development for quantitative finance. The project’s vision is to build a flexible and modular toolkit for pricing, simulation, calibration, and visualization of financial instruments.

Current Features

• Models:
  The package currently implements a robust Black–Scholes model. This includes:

  • A BlackScholes class that defines the asset dynamics through drift and diffusion functions, making it compatible with the simulation engine.
  • Greeks calculation under the Black–Scholes framework: delta, gamma, vega, theta, rho.

• Simulations:
  Provides a basic path simulation engine supporting Euler and exact simulation schemes.

• Contracts:
  Offers various derivative contracts including European, Asian, Digital, and Lookback options.

• Calibration:
  Includes an implied volatility calculator using the Newton–Raphson method.

Future Goals

Quant Forge aims to expand its capabilities by adding:

• Advanced Pricing Methods:
  Closed-form formulas, FFT-based pricing, Monte Carlo simulations, and finite difference solvers.

• Extended Models:
  Stochastic volatility, local volatility, and other advanced financial models.

• Enhanced Simulation Tools:
  Higher-order numerical schemes, variance reduction techniques, and parallel/distributed simulation support.

• Visualization Tools:
  Comprehensive plotting and analysis of pricing surfaces, risk measures, and model calibration.

Examples

The examples/ directory contains example notebooks demonstrating how to use Quant Forge.

• volatility_surface notebook shows how to generate and plot an implied volatility surface for a given stock.

Marimo

I'm now using marimo for notebooks creation. To use marimo, install it with your package manager and run

marimo edit volatility_surface.py

for editing mode or run

marimo run volatility_surface.py

for application mode.

Installation

Clone the repository and install the required dependencies:

git clone https://github.com/RyanTmi/quant-forge.git
cd quant-forge
pip install -e .

License

Quant Forge is released under the MIT License. See the LICENSE file for more details.

Contact

For questions, suggestions, or feedback, please open an issue on GitHub or contact the maintainers at [email protected].