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willowtree
Python willow tree lattice for derivatives pricing
What it is
A Python implementation of the willow tree lattice, a numerical method for pricing derivatives. It builds the lattice robustly and flexibly so options and other derivatives can be valued through it. Quant researchers and financial engineering students who want to study or extend this lattice technique are the intended users. It implements one specific numerical method, so it complements rather than replaces a general pricing library.
At a glance
Research onlyOur rating, based on popularity, maintenance and how ready it is for real use.
| Best for | Professional quants |
|---|---|
| Used for | Strategy research, Data analysis |
| Markets | Multi-market |
| Stack | Python |
| Learning curve | Steep learning curve |
| Practical value | Medium practical value |
| Cost | Free and open source |
| Hardware | No GPU needed |
| Maintenance | No commits in over six months |
GitHub stars, last 30 days
Daily snapshots since 2026-09-28 (up to 30 days): +6 over the period, now 388. Gaps mean no snapshot was taken that day.
Robust and flexible Python implementation of the willow tree lattice for derivatives pricing.
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