A python package for quantitative finance and derivative pricing
Project description
frm
frm is an in-development python package for quantitative financial pricing and modelling. frm uses common 3rd party python packages for scientific computing (numpy, scipy, pandas, numba, matplotlib) and the holidays package.
This package will have a similar function set to Quantlib however we want to make it more accessible, documented, and productive though:
- The python (core + 3rd party libaries) implementation
- Academic and industry references (at specific lines of code) to support users own validation and testing
- Supporting excel/VBA models that validate/support the code
- Significant code examples
Installation
pip install --upgrade frm
In progress
Interest rate swaps
- pricing
- schedule construction (including detailed stub logic)
- iterative single currency bootstrapping
- fixed rate / spread par solvers
Vanilla European FX options
- pricing + greeks (under Garman-Kohlhagen)
- volatility surface construction (smile construction via Heston or splines)
Pipeline
- SABR volatility model
- European interest rate swaption pricing
- CDS Bootstrapper
Hosted examples
At https://frmcalcs.com, the following tools are are hosted:
- FX forward valuations and exposure modelling for CVA/DVA
- Vanilla FX option valuations
Project details
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