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nl2992/fourier-option-pricer ★ 171 17 APPLICATION

foureng is a Python library for quantitative finance: Fourier and characteristic-function based option pricing. It exposes unified dispatchers (`price_strip` and `price`) over a registry of characteristic-function models (BSM, Heston, VG, Kou, Bates, CGMY, NIG, 3/2, rough Heston, etc.) and numerical engines (COS, Carr-Madan FFT, FRFT, Lewis, Hilbert, PROJ, CTMC, SINC, SWIFT, contour, plus Monte Carlo baselines). The product layer covers European vanillas, Bermudan/American, barriers, Asians, lookbacks, cliquets, faders, variance/credit instruments, and multi-asset payoffs. It is a library, not a service or CLI: usage is through the Python API and Jupyter notebooks.

RATING: 8.5/10 MAINT: active DRIFT: medium
#option-pricing #fourier-transform #quantitative-finance #characteristic-function #cos-method #monte-carlo #calibration #python-library
▸ 4 reusable components found
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