API Reference¶
Complete reference for all public classes, functions, and parameters in the quantflow library.
Modules¶
Data¶
Clients for fetching market data from external sources. Requires the optional data extra:
| Module | Description |
|---|---|
| Deribit | Crypto options and futures from the Deribit exchange |
| Financial Modeling Prep | Equity prices, profiles, and sector data |
| FRED | US macroeconomic time series from the St. Louis Fed |
| Federal Reserve | Federal Reserve H.15 interest rate data |
Options¶
Option pricing, volatility surface construction, and model calibration.
| Module | Description |
|---|---|
| Black-Scholes | Black-76 pricing formula and implied volatility inversion |
| Pricer | Model-based option pricer supporting any stochastic process |
| Volatility Surface | Build and serialise implied volatility surfaces from market data |
| Calibration | Calibrate Heston and Heston-jump-diffusion models to a surface |
| Deep IV Factor Model | Neural-network option pricing via the DIVFM architecture |
Stochastic Processes¶
Continuous-time stochastic processes used as underlying models for option pricing and simulation.
| Module | Description |
|---|---|
| Wiener Process | Geometric Brownian motion (constant volatility) |
| Heston Model | Stochastic volatility with optional jump component (HestonJ) |
| Jump Diffusion | Compound Poisson jump processes |
| CIR Process | Cox-Ingersoll-Ross mean-reverting process |
| Ornstein-Uhlenbeck | Ornstein-Uhlenbeck mean-reverting process |
| Poisson Process | Homogeneous Poisson process |
| Compound Poisson | Poisson arrivals with a jump-size distribution |
| Doubly Stochastic Poisson | Poisson process with stochastic intensity |
Technical Analysis¶
Time series filters and indicators for financial data.
| Module | Description |
|---|---|
| EWMA | Exponentially weighted moving average |
| Kalman Filter | Kalman filter for state estimation |
| Supersmoother | Ehlers two-pole supersmoother filter |
| OHLC | OHLC bar utilities and resampling |
| Paths | Simulated path containers and statistics |
Utilities¶
Low-level building blocks used throughout the library.
| Module | Description |
|---|---|
| Distributions | Jump-size distributions (Normal, DoubleExponential) |
| Marginal 1D | Marginal distribution via characteristic function inversion |
| Bins | Histogram binning helpers |
| Numbers | Decimal and float numeric utilities |
| Types | Shared type aliases |