Metadata-Version: 2.1
Name: qfinance
Version: 1.0.3
Summary: Quantum Finance Library
License:    Copyright (c) 2023 Baidu, Inc. All Rights Reserved.
        
           Licensed under the Apache License, Version 2.0 (the "License");
           you may not use this file except in compliance with the License.
           You may obtain a copy of the License at
        
               http://www.apache.org/licenses/LICENSE-2.0
        
           Unless required by applicable law or agreed to in writing, software
           distributed under the License is distributed on an "AS IS" BASIS,
           WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
           See the License for the specific language governing permissions and
           limitations under the License.
Requires-Python: >=3.9
Description-Content-Type: text/markdown
License-File: LICENSE

# QFinance

*Copyright (c) 2023 Institute for Quantum Computing, Baidu Inc. All Rights Reserved.*

## About QFinance

**QFinance** is a Quantum Finance library based on the [QCompute](https://github.com/baidu/QCompute) SDK. It provides a set of tools for building quantum algorithms for finance. Currently, it supports the following features:
* Pricing European options using Quantum Monte Carlo method
* Pricing European options using classical methods, including
    + Black-Scholes-Merton method
    + Classical Monte Carlo method

The following quantum algorithms are implemented in **QFinance**:
* Quantum Monte Carlo algorithm for simple piecewise linear payoff function
* Arbitrary quantum state preparation
* Quantum Fourier transform
* Quantum phase estimation
* Quantum amplitude estimation algorithms:
    + Canonical Quantum Amplitude Estimation [[Brassard 2002](http://arxiv.org/abs/quant-ph/0005055)]
    + Maximum Likelihood Amplitude Estimation [[Suzuki 2019](http://arxiv.org/abs/1904.10246)]
    + Iterative Quantum Amplitude Estimation [[Grinko 2019](http://arxiv.org/abs/1912.05559)]


## Installation
QFinance is available on PyPI. To install the latest release, run:

```bash
pip install qfinance
```
**pip** will handle all dependencies automatically.

## Examples

### Option Pricing

```python
import QCompute
QCompute.Define.Settings.outputInfo = False
from QFinance.pricing import EuropeanOptionPricingClassical, EuropeanCallQMC

# set parameters
# s0 is the current price of the underlying asset
# k is the strike price
# t is the time to maturity (in years)
# r is the risk-free interest rate
# sigma is the volatility of the underlying asset
s0 = 100
k = 90
t = 1
r = 0.05
sigma = 0.1

########################################################################################

option_classical = EuropeanOptionPricingClassical(s0, k, t, r, sigma, "call", "long")

# option price calculated by Black-Scholes-Merton model
bsm_price = option_classical.bsm_price()

option_classical.set_CMC_sample_size(1000000)
# option price calculated by Classical Monte Carlo method
cmc_price = option_classical.cmc_price()

option_classical.show_info()

########################################################################################

option = EuropeanCallQMC(s0, k, t, r, sigma)
option.set_num_qubits(3)
option.set_scaling(0.04)

# set MLAE configuration
option.method = "MLAE"
Q_powers = [2, 3, 5, 10]
shots = [100000] * len(Q_powers)
price_qmc = option.get_price_mlae(Q_powers, shots)

print(f"BSM price: \t{bsm_price:.5f}")
print(f"CMC price: \t{cmc_price:.5f}")
print(f"QMC price: \t{price_qmc:.5f}")

```

The typical output is as follows:

```bash
European option pricing with the following parameters:
option type:                    call, long
current stock price:            s0 = 100  
strike price:                   k = 90    
time to maturity (in years):    t = 1
risk-free interest rate:        r = 0.05
volatility:                     sigma = 0.1


=================== Running MLAE algorithm ======================
powers of Q are: [2, 3, 5, 10]
number of shots are: [100000, 100000, 100000, 100000]

Applying Q^2 to the state A|0>^8...
Time elapsed: 0.2348 seconds.

Applying Q^3 to the state A|0>^8...
Time elapsed: 0.3460 seconds.

Applying Q^5 to the state A|0>^8...
Time elapsed: 0.5540 seconds.

Applying Q^10 to the state A|0>^8...
Time elapsed: 1.0420 seconds.
===================== MLAE algorithm finished. ====================

BSM price:      14.62884
CMC price:      14.62937
QMC price:      14.62056

```

## License

QFinance uses the [Apache License 2.0](https://github.com/Qiskit/qiskit-finance/blob/main/LICENSE.txt).
