pyfin

“Oh cool. Probably a little easier than spinning up the QuantLib stack.” — Wes McKinney, creator of Pandas

Option valuation w/ Black-Scholes, lattice (binomial tree), and Monte Carlo simulation models.
Basic Greeks calculation (delta, theta, rho, vega, gamma) across each valuation model.
Discrete dividends support in the lattice (binomial tree) and Monte Carlo simulation models.
Early exercise (American options) support in Monte Carlo simulation through the Longstaff-Schwartz technique.
Minimal dependencies, just Numpy & SciPy.
Free software, released under the MIT license.

opendoor-labs/pyfin