Use Python like a spreadsheet!
Note: Visit Discussions for more frequent updates.
19 August 2023: modelx v0.23.0 is released. See modelx v0.23.0 (19 August 2023).
29 July 2023: modelx v0.22.0 is released. See modelx v0.22.0 (29 July 2023). A blog post, New Feature: Export Models as Self-contained Python Packages on https://modelx.io explains the export feature in more details.
5 May 2023: spyder-modelx v0.13.4 is released to support Spyder 5.4.3. See spyder-modelx v0.13.4 (5 May 2023).
4 February 2023: spyder-modelx v0.13.3 is released to support Spyder 5.4.0 - 5.4.2. See spyder-modelx v0.13.3 (4 February 2023).
4 February 2023: modelx is now listed on awesome-quant, a curated list of awesome libraries, packages and resources for Quants.
What is modelx?#
modelx is a numerical computing tool that enables you to use Python like a spreadsheet by quickly defining cached functions. modelx is best suited for implementing mathematical models expressed in a large system of recursive formulas, in such fields as actuarial science, quantitative finance and risk management.
modelx enables you to interactively develop, run and debug complex models in smart ways. modelx allows you to:
Define cached functions as Cells objects by writing Python functions
Quickly build object-oriented models, utilizing prototype-based inheritance and composition
Quickly parameterize a set of formulas and get results for different parameters
Trace formula dependency
See formula traceback upon error and inspect local variables
Save models to text files and version-control with Git
Save data such as pandas DataFrames in Excel or CSV files within models
Auto-document saved models by Python documentation generators, such as Sphinx
Use Spyder with a plugin for modelx (spyder-modelx) to interface with modelx through GUI
modelx on PyPI
Who is modelx for?#
modelx is designed to be domain agnostic, so it’s useful for anyone in any field. Especially, modelx is suited for modeling in such fields such as:
lifelib (https://lifelib.io) is a library of actuarial and financial models that are built on top of modelx.
How modelx works#
Below is an example showing how to build a simple model using modelx. The model performs a Monte Carlo simulation to generate 10,000 stochastic paths of a stock price that follow a geometric Brownian motion and to price an European call option on the stock.
import modelx as mx import numpy as np model = mx.new_model() # Create a new Model named "Model1" space = model.new_space("MonteCarlo") # Create a UserSpace named "MonteCralo" # Define names in MonteCarlo space.np = np space.M = 10000 # Number of scenarios space.T = 3 # Time to maturity in years space.N = 36 # Number of time steps space.S0 = 100 # S(0): Stock price at t=0 space.r = 0.05 # Risk Free Rate space.sigma = 0.2 # Volatility space.K = 110 # Option Strike # Define Cells objects in MonteCarlo from function definitions @mx.defcells def std_norm_rand(): gen = np.random.default_rng(1234) return gen.standard_normal(size=(N, M)) @mx.defcells def stock(i): """Stock price at time t_i""" dt = T/N; t = dt * i if i == 0: return np.full(shape=M, fill_value=S0) else: epsilon = std_norm_rand()[i-1] return stock(i-1) * np.exp((r - 0.5 * sigma**2) * dt + sigma * epsilon * dt**0.5) @mx.defcells def call_opt(): """Call option price by Monte Carlo""" return np.average(np.maximum(stock(N) - K, 0)) * np.exp(-r*T)
Running the model from IPython is as simple as calling a function:
>>> stock(space.N) # Stock price at i=N i.e. t=T array([ 78.58406132, 59.01504804, 115.148291 , ..., 155.39335662, 74.7907511 , 137.82730703]) >>> call_opt() 16.26919556999345
Changing a parameter is as simple as assigning a value to a name:
>>> space.K = 100 # Cache is cleared by this assignment >>> call_opt() # New option price for the updated strike 20.96156962064
You can even dynamically create multiple copies of MonteCarlo
with different combinations of
by parameterizing MonteCarlo with
>>> space.parameters = ("r", "sigma") # Parameterize MonteCarlo with r and sigma >>> space[0.03, 0.15].call_opt() # Dynamically create a copy of MonteCarlo with r=3% and sigma=15% 14.812014828333284 >>> space[0.06, 0.4].call_opt() # Dynamically create another copy with r=6% and sigma=40% 33.90481014639403
Copyright 2017-2023, Fumito Hamamura
modelx is free software; you can redistribute it and/or modify it under the terms of GNU Lesser General Public License v3 (LGPLv3).
Contributions, productive comments, requests and feedback from the community are always welcome. Information on modelx development is found at Github fumitoh/modelx
- What’s New
- Spyder plugin
- Reference Guide