PyFENG

https://pyfeng.readthedocs.io/en/latest/
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PyFENG is a Python library providing implementations of standard financial engineering models for...
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### Install PyFENG with pip

Source: https://pyfeng.readthedocs.io/en/latest/index.html

Install the PyFENG package using pip. This is the standard installation command.

```bash
pip install pyfeng

```

--------------------------------

### Price options with Bsm model (single sigma)

Source: https://pyfeng.readthedocs.io/en/latest/index.html

Create a Bsm model instance with a single volatility and price options for strikes from 80 to 120 with a spot of 100 and time to expiry of 1.2. The output shows the resulting option prices.

```python
import numpy as np
import pyfeng as pf
m = pf.Bsm(sigma=0.2, intr=0.05, divr=0.1)
m.price(strike=np.arange(80, 121, 10), spot=100, texp=1.2)

```

```text
array([15.71361973,  9.69250803,  5.52948546,  2.94558338,  1.48139131])

```

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### Price options with Bsm model (vectorized sigma and strikes)

Source: https://pyfeng.readthedocs.io/en/latest/index.html

Create a Bsm model with multiple volatilities (sigma in axis=0) and price options for strikes [90, 95, 100] with mixed call/put flags (cp array). The output shows a 2D array of option prices.

```python
sigma = np.array([[0.2], [0.5]])
m = pf.Bsm(sigma, intr=0.05, divr=0.1) # sigma in axis=0
m.price(strike=np.array([90, 95, 100]), spot=100, texp=1.2, cp=np.array([-1,1,1]))

```

```text
array([[ 5.75927238,  7.38869609,  5.52948546],
       [16.812035  , 18.83878533, 17.10541288]])

```

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### pyfeng.sv_fft Module

Source: https://pyfeng.readthedocs.io/en/latest/_sources/sv_fft.rst.txt

Provides Fourier inversion pricing methods for stochastic volatility models. The module includes classes for Heston, OUSV, Variance Gamma, Exponential NIG, 3/2, rough Heston, and GARCH models.

```APIDOC
## Module: pyfeng.sv_fft

### Description
This module implements Fourier inversion methods for pricing under various stochastic volatility models. It provides classes for Heston, OUSV, Variance Gamma, Exponential NIG, 3/2, rough Heston, and GARCH models.

### Classes
- **HestonFft** - Fourier inversion for the Heston model.
- **OusvFft** - Fourier inversion for the OUSV model.
- **VarGammaFft** - Fourier inversion for the Variance Gamma model.
- **ExpNigFft** - Fourier inversion for the Exponential NIG model.
- **Sv32Fft** - Fourier inversion for the 3/2 stochastic volatility model.
- **RoughHestonFft** - Fourier inversion for the rough Heston model.
- **GarchFftWuMaWang2012** - Fourier inversion for the GARCH model as per Wu, Ma, and Wang (2012).

### Notes
- Inherited members are included.
- The base class `FftABC` is excluded from documentation.
```

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### Upgrade PyFENG with pip

Source: https://pyfeng.readthedocs.io/en/latest/index.html

Upgrade the PyFENG package to the latest version using pip.

```bash
pip install pyfeng --upgrade

```
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