frm 0.0.4

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.

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

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

Installation / Upgrade

pip install --upgrade frm || 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