Composable financial contracts with Monte Carlo valuation
Project description
Monte Carlo Contracts
Composable financial contracts with Monte Carlo valuation. This module employs ideas from How to Write a Financial Contract by S. L. Peyton Jones and J-M. Eber. However, the implementation is not based on functional programming but rather using an object oriented approach. Also, this implementation is tailored towards Monte Carlo based cashflow generation whereas the paper favours more general methods.
Features
monte-carlo-contracts
is a single file Python project
Install
You can install monte-carlo-contracts
using pip
with
pip3 install monte-carlo-contracts
or you can simply download mcc.py
and then run it using python3
with
python3 mcc.py
History
0.2.0 (2020-10-11)
- Simulation of basic contracts
Zero
,One
,Give
,Scale
,And
,When
andCond
- Partial simulation of
Or
contract - Float observables
Stock
andFX
- Boolean observables
At
SimulatedCashflows
and model-boundIndexedCashflows
to represent cashflows- Basic
Model
allowing the generation of cashflows for the contracts above
0.1.0 (2020-09-22)
- Created using cookiecutter-pyscript
Credits
Main developer is luphord luphord@protonmail.com. cookiecutter-pyscript is used as project template.
History
0.1.0 (2020-09-22)
- Initial release.
Project details
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