frontmark derivatives pricing python package

derivative-pricing, equity-options, finance-derivatives, option-pricing, volatility-modeling, yield-curves-calibration
pip install pyvacon==0.1.10


Binder License: MIT frontmark RIVACON

Jupyter Notebooks

This is a collection of jupyter notebooks to illustrate the basic concepts of mathematical finance:

Market Data

Roll Conventions, Day Counters and Schedule Generation

The most important day counters and roll conventions are explained here. This notebook shows how to roll out schedules.

Discount Curves

You can learn how to create and work with discount curves including plotting functionality in this notebook. How to bootstrap in a multi-curve framework is explained here.

Equity Forward Curves

Create and work with equity forward curves including plotting functionality here.

Equity Volatility Surfaces

Create and work with equity volatility surfaces here.


A variety of different derivative products from various asset classes are introduced and their pricing is discussed.


  • use Title Case for H1 (#) and H2 (##) headers
  • use Sentence case for H3 (###), H4 (####) etc. headers (maybe except if only 2 - 3 linked words)
  • use snake_case for filenames


Thanks to our sponsors frontmark and RIVACON.