Derivatives Analytics with Python & Numpy
[EuroPython 2011] Yves Hilpisch - 24 June 2011 in "Track Ravioli "
In financial engineering and derivatives analytics, C/C++/Java/VBA and other languages are still dominating. Visixion has developed with DEXISION the first full fledged derivatives analytics suite with Python as core language.
DEXISION is an On Demand application that is completely Open Source based (LAMP). For derivatives valuation, it uses Monte Carlo simulation - an approach known to be computationally demanding. However, Numpy provides the performance and functionality needed to implement financial simulation algorithms in a fast and compact manner.
The talk illustrates the architecture of our analytics suite and demonstrates how to implement fast and compact simulation algorithms with Python and Numpy. The talk shows that the Python/Numpy combination reaches sufficient speed for productive financial applications - something still widely doubted.