A package for common valuation methodologies in Fair Value and Fair Market Value measurements.
Project description
pyvallib
pyvallib provides an implementation of commonly applied methodologies used in fair value measurements for financial reporting purposes.
Implemented Methodologies
Complex Financial Instruments (CFI)
- Black-Scholes model
- Monte Carlo simulation
- Correlated Monte Carlo simulation (coming soon)
- Cox-Ross-Rubinstein Binomial lattice model
- Tsiveriotis-Fernandes Convertible Bond model (coming soon)
- Black-Derman-Toy lattice model (coming soon)
Discount for Lack of Marketability (DLOM)
- Chaffe European Put
- Differential European Put
- Finnerty Asian Put
- Ghaidarov Asian Put
Utility
- yearfrac (replicates Excel function)
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