stochPathSim

Stochastic path simulation, derivatives pricing and risk analytics for quantitative finance.

Interactive: hover, zoom and toggle series.

stochPathSim simulates the stochastic processes used in equity, FX, commodity, credit and interest-rate modelling, prices derivatives on the simulated paths, and turns them into risk measures: exposure profiles, CVA and VaR. It also includes the statistical tests used to backtest risk-factor models.

Every model is validated in the test suite against an independent reference: Monte Carlo prices are checked against closed forms within a few standard errors, and the semi-analytic formulas (Heston, SABR, Hull-White bond options) agree with QuantLib to 1e-10 or better.

Package	Contents
stochPathSim.processes	GBM, multi-asset GBM, Merton, Heston, Bates, SABR, CEV, variance gamma, OU, Vasicek, CIR, Hull-White, Ho-Lee, G2++, Black-Karasinski, BDT
stochPathSim.analytics	Black-Scholes, Black-76, Bachelier, Heston, Merton, SABR, bond prices and bond options
stochPathSim.pricing	payoffs, Monte Carlo pricer, Longstaff-Schwartz, binomial tree
stochPathSim.risk	exposure (EE, PFE, EPE, Effective EPE), CVA, VaR/ES, backtesting tests
stochPathSim.validation	convergence and discretisation studies, model comparison, HTML validation reports
stochPathSim.viz	interactive Plotly charts and dashboards
stochPathSim.calibration	maximum-likelihood fits for GBM, OU/Vasicek and CIR

pip install stochPathSim

Continue with Getting started.