frm 0.0.17

A python package for quantitative finance and derivative pricing

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.

At this stage, the package is in development and is not yet ready for production use, with the API subject to change. We welcome any feedback, suggestions, and contributions.

This package will have a similar function set to Quantlib however we want to make it more accessible, documented, and productive through:

1. The python (core + 3rd party libaries) implementation
2. In line academic and industry references to support users own validation and testing
3. Supporting excel/VBA models that validate/support the code
4. Significant code examples

Installation

pip install --upgrade frm

Complete with examples

• Clewlow-Strickland 1-factor simulation
• Heston parameter calibration to European FX option volatility smile
• Heston simulation
• Hull White 1 factor simulation

Tests/examples in progress

• Interest rate swaps pricing
• Interest rate curve bootstrapping
• Caplet/floorlet term structure bootstrapper (smiles fit to SABR) & caplet/floorlet pricing

In development / pipeline

• Swaption term structure bootstrapper (smiles fit to SABR)
• CDS Bootstrapper