A python package for quantitative finance and derivative pricing
Project description
frm
A python package for quantitative finance and derivative pricing. Emphasis on documentation, references and (at a later date, examples)
Complete
Interest rate swaps
- pricing
- schedule construction (including detailed stub logic)
- iterative single currency bootstrapping
- fixed rate / spread solvers
Vanilla European FX options
- pricing + greeks (under Garman Kolhagen)
- volatility surface construction (smile construction via Heston or splines)
Pipeline
- SABR volatility model
- European interest rate swaption pricing
- Heston-Local Volatility model (for pricing path dependent FX options)
- Cosine method to 5x the calibration time of the volatility smile under Heston
At frmcalcs.com/app_frm/, some use cases are are hosted.
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