Black-Scholes library implemented as a Cairo smart contract

Overview

Cairo Black-Scholes Library

Black-Scholes library implemented as a Cairo smart contract.

All inputs, outputs, and internal calculations use 27-digit fixed-point numbers.

Library

This library implements the interface described here. The external functions exposed allow you to retrieve the Black-Scholes call and put option prices and the option greeks, given the expiration time, volatility, spot price, strike price, and interest rate.

Validation

The pytest deploys the smart contract in a local test environment and queries for the call and put option prices with randomly generated test inputs. Each test input consists of (expiration time, volatility, spot price, strike price, interest rate).

The results are compared against the options prices as computed by the py_vollib library. The test validates that the error from the Cairo library and the py_vollib libary is minimal. Option greeks were validated against online tools such as this one.

Test Instructions

  1. First make sure you can run a basic StarkNet contract unit test (see here).
  2. Install py_vollib: pip install py_vollib.
  3. Clone this repo and run pytest black_scholes_test.py.

SHARP

In the sharp/ folder, you can generate a proof of call option price computation for a given input (input.json) using the Shared Prover (SHARP) and check that the proof gets verified on-chain by running:

cairo-sharp submit --source black_scholes.cairo --program_input input.json

cairo-sharp status {JOB_KEY}

When the status is "PROCESSED", you can check to see if it is verified on chain.

cairo-sharp is_verified {FACT} --node_url https://goerli-light.eth.linkpool.io/

Owner
Aditya Raghavan
Aditya Raghavan
Simple script to match riders with drivers.

theBestPooler Simple script to match riders with drivers. It's a greedy, unoptimised search, so no guarantees that it works. It just seems to work (ve

Devansh 1 Nov 22, 2021
A nonebot2 plugin, send news information in a picture form.

A nonebot2 plugin, send news information in a picture form.

幼稚园园长 7 Nov 18, 2022
Example python package with pybind11 cpp extension

Developing C++ extension in Python using pybind11 This is a summary of the commands used in the tutorial.

55 Sep 04, 2022
dbt adapter for Firebolt

dbt-firebolt dbt adapter for Firebolt dbt-firebolt supports dbt 0.21 and newer Installation First, download the JDBC driver and place it wherever you'

23 Dec 14, 2022
Digitales Raumbuch

Helios Digitales Raumbuch Settings Moved to settings. Basic Commands Setting Up Your Users To create a normal user account, just go to Sign Up and fil

1 Nov 19, 2021
This library is an abstraction for Splunk-related development, maintenance, or migration operations

This library is an abstraction for Splunk-related development, maintenance, or migration operations. It provides a single CLI or SDK to conveniently perform various operations such as managing a loca

NEXTPART 6 Dec 21, 2022
Small C-like language compiler for the Uxn assembly language

Pyuxncle is a single-pass compiler for a small subset of C (albeit without the std library). This compiler targets Uxntal, the assembly language of the Uxn virtual computer. The output Uxntal is not

CPunch 13 Jun 28, 2022
Project in which we modelise an Among Us problem using graph theories.

Python-AmongUsProblem Project in which we modelise an Among Us problem using graph theories. The rules are as following: Total of 100 players 10 playe

Gabriel Shenouda 1 Feb 09, 2022
log4shell pwner for vulnerable minecraft servers

Log4-hell name supposed to be Log4$hell but oh well log4shell pwner for vulnerable minecraft servers install all reqs python + a minecraft client for

1 Jan 05, 2022
A simple script that can watch a list of directories for change and does some action

plot_watcher A simple script that can watch a list of directories and does some action when a specific kind of change happens In its current implement

Charaf Errachidi 12 Sep 10, 2021
Advanced python code - For students in my advanced python class

advanced_python_code For students in my advanced python class Week Topic Recordi

Ariel Avshalom 3 May 27, 2022
edgetest is a tox-inspired python library that will loop through your project's dependencies, and check if your project is compatible with the latest version of each dependency

Bleeding edge dependency testing Full Documentation edgetest is a tox-inspired python library that will loop through your project's dependencies, and

Capital One 16 Dec 07, 2022
Flight Reservation App With Python

Flight Reservation App With Python

victor-h. 1 Nov 21, 2021
flake8 plugin which checks that there is no use of sleep in the code.

flake8-sleep flake8 plugin which checks for use of sleep function. installation Using Pypi: pip install flake8-sleep flake8 codes Code Description SLP

1 Nov 26, 2021
More routines for operating on iterables, beyond itertools

More Itertools Python's itertools library is a gem - you can compose elegant solutions for a variety of problems with the functions it provides. In mo

2.8k Jan 02, 2023
Notes on the Deep Learning book from Ian Goodfellow, Yoshua Bengio and Aaron Courville (2016)

The Deep Learning Book - Goodfellow, I., Bengio, Y., and Courville, A. (2016) This content is part of a series following the chapter 2 on linear algeb

hadrienj 1.7k Jan 07, 2023
This is a simple python script for checking A/L Examination results of srilankan students

AL-Result-Checker This is a simple python script for checking A/L Examination results of srilankan students INSTALLATION [Termux] [Linux] : apt-get up

Razor Kenway 8 Oct 24, 2022
peace-performance (Rust) binding for python. To calculate star ratings and performance points for all osu! gamemodes

peace-performance-python Fast, To calculate star ratings and performance points for all osu! gamemodes peace-performance (Rust) binding for python bas

9 Sep 19, 2022
Unofficial Python Library to communicate with SESAME 3 series products from CANDY HOUSE, Inc.

pysesame3 Unofficial Python Library to communicate with SESAME 3 series products from CANDY HOUSE, Inc. This project aims to control SESAME 3 series d

Masaki Tagawa 18 Dec 12, 2022
A slapdash script to solve Wordle or Absurdle automatically

A slapdash script to solve Wordle or Absurdle automatically

Michael Anthony 1 Jan 19, 2022