Quant DSL

Domain specific language for quantitative analytics in finance and trading.

Install

Use pip to install the latest distribution from the Python Package Index.

pip install --upgrade pip
pip install quantdsl

Please register any issues on GitHub.

To avoid disturbing your system's site packages, it is recommended to install into a new virtual Python environment, using Virtualenv.

If you are working on a corporate LAN, with an HTTP proxy that requires authentication, then pip may fail to find the Python Package Index. In this case you may need to download the distribution (and dependencies) by hand, and then use the path to the downloaded files instead of the package name in the pip command:

pip install ~/Downloads/quantdsl-X.X.X.tar.gz

Trouble building NumPy and SciPy?

This package depends on SciPy, which depends on NumPy.

Both should be automatically installed as Python dependencies, however they depend on compilers being available on your system.

On GNU/Linux systems you may need to install developer tools (e.g. build-essential on Debian). If you don't want to build the binaries, you can just install NumPy and SciPy as system packages and create a Python virtual environment that uses system site packages (--system-site-packages).

Similarly, OSX users may benefit from reading this page: install Apple’s Developer Tools, then install the Fortran compiler binary. Then you should be able to install NumPy and SciPy using pip.

Windows users may also not be able to install NumPy and SciPy because they do not have a compiler installed. Obtaining one that works can be frustrating. If so, one solution would be to install the PythonXY distribution of Python, so that you have NumPy and SciPy - other distributions are available. Then create a virtual environment with the --system-site-packages option of virtualenv so that NumPy and SciPy will be available in your virtual environment. If you get bogged down, the simpler alternative is to install Quant DSL directly into your PythonXY installation, using pip install quantdsl or easy_install quantdsl if pip is not available.

Overview

Quant DSL is a functional programming language for modelling derivative instruments.

At the heart of Quant DSL is a set of elements - e.g. Settlement, Fixing, Choice, Market - which encapsulate maths used in finance and trading. The elements of the language can be freely composed into expressions of value. User defined functions generate extensive dependency graphs that effectively model and evaluate exotic derivatives.

The syntax of Quant DSL expressions has been formally defined, the semantic model is supported with mathematical proofs. The syntax is a strict subset of the Python language syntax. This package is an implementation of the language in Python. At this time, we are not aware of any other implementation of Quant DSL, in Python or in any other language.

Usage

To create a working program, you can copy and paste the following code snippets into a single Python file. The code snippets in this section have been tested. Please feel free to experiment by making variations.

If you are using a Python virtualenv, please check that your virtualenv is activated before installing the library and running your program.

Let's jump in at the deep-end with a simple model of a gas-fired power station.

quantdsl_module = """
PowerStation(Date('2012-01-01'), Date('2012-01-13'), Market('GAS'), Market('POWER'), Stopped(1))

def PowerStation(start, end, gas, power, duration_off):
    if (start < end):
        Wait(start,
            Choice(
                ProfitFromRunning(gas, power, duration_off) + PowerStation(
                    Tomorrow(start), end, gas, power, Running()
                ),
                PowerStation(
                    Tomorrow(start), end, gas, power, Stopped(duration_off)
                )
            )
        )
    else:
        return 0

@inline
def ProfitFromRunning(gas, power, duration_off):
    if duration_off > 1:
        return 0.75 * power - gas
    elif duration_off == 1:
        return 0.90 * power - gas
    else:
        return 1.00 * power - gas

@inline
def Running():
    return 0

@inline
def Stopped(duration_off):
    return duration_off + 1

@inline
def Tomorrow(today):
    return today + TimeDelta('1d')
"""

Construct a Quant DSL application object.

from quantdsl.application.with_pythonobjects import QuantDslApplicationWithPythonObjects

app = QuantDslApplicationWithPythonObjects()

Compile the module into a dependency graph.

dependency_graph = app.compile(quantdsl_module)

Calibrate from historical data. In this example, we can just register some calibration parameters.

price_process_name = 'quantdsl.priceprocess.blackscholes.BlackScholesPriceProcess'

calibration_params = {
    'GAS-LAST-PRICE': 10,
    'POWER-LAST-PRICE': 11,
    'GAS-ACTUAL-HISTORICAL-VOLATILITY': 30,
    'POWER-ACTUAL-HISTORICAL-VOLATILITY': 20,
    'GAS-POWER-CORRELATION': 0.4,
}

market_calibration = app.register_market_calibration(
    price_process_name,
    calibration_params
)

Make a simulation from the calibration.

import datetime

market_simulation = app.simulate(
    dependency_graph,
    market_calibration,
    path_count=20000,
    observation_date=datetime.datetime(2011, 1, 1)
)

Make an evaluation using the simulation.

evaluation = app.evaluate(dependency_graph, market_simulation)

Inspect the estimated value.

estimated_value = evaluation.result_value.mean()
assert 17 < estimated_value < 18, estimated_value