frm 0.0.1

A python package for quantitative finance and derivative pricing

frm

A python package for quantitative finance and derivative pricing. Emphasis on documentation, references and detailed examples.

This package will have a similar scope to Quantlib. The rational for this package is:

• QuantLib-Python is fiddly and due to SWIG it's hard to drill down into errors.
• QuantLib C++ is in C++ which is unproductive for many use cases and is harder to read than native python (which is nearly pseudocode)

Complete

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
• Heston-Local Volatility model (for pricing path dependent FX options)

At frmcalcs.com/app_frm/, some use cases are are hosted.