TensorFlow Quantitative Finance.

This library provides high-performance components leveraging the hardware acceleration support and automatic differentiation of TensorFlow. The library will provide TensorFlow support for foundational mathematical methods, mid-level methods, and specific pricing models.

Installation

First and foremost install and upgrade your tensorflow version

pip install --upgrade tensorflow tf_keras

then install the library itself:

pip install tf-q-finance

Modules

black_scholes module: TensorFlow Quantitative Finance volatility surfaces and vanilla options.

datetime module: Date-related utilities.

math module: TensorFlow Quantitative Finance general math functions.

models module: TensorFlow Quantitative Finance tools to build Diffusion Models.

rates module: Functions to handle rates.

types module: Types module.

utils module: Utilities module.

Examples

For practical usage and demonstrations, please see the examples folder in the repository. It contains Jupyter notebooks and scripts showcasing various features and use cases of TensorFlow Quantitative Finance.