A package for common valuation methodologies in Fair Value and Fair Market Value measurements.

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  • License: MIT License Copyright (c) 2024 miketsai05 Permission is hereby granted, free of charge, to any per...
  • Requires: Python >=3.10
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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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  • License: MIT License Copyright (c) 2024 miketsai05 Permission is hereby granted, free of charge, to any per...
  • Requires: Python >=3.10
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0.0.1.dev3 pre-release

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0.0.1.dev2 pre-release

0.0.1.dev1 pre-release

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