tensorquant 0.0.2

Pacchetto di analisi e caricamento dati per tQuant

tQuant

tQuant is a Python financial library that leverages Tensor arrays for intensive risk management computations and algorithmic differentiation.

Table of Contents

• Introduction
• Features
• Installation
• Usage
• Contributing
• License
• Contact

Introduction

tQuant is designed to provide financial analysts and data scientists with powerful tools for risk management and algorithmic differentiation using Tensor arrays. This library is built to handle the heavy lifting involved in complex financial computations, offering both speed and accuracy. Additionally, tQuant is used in academic settings, including courses at the University of Siena (UNISI), to provide students with hands-on experience in financial computation and risk management.

Features

• Tensor Array Operations: Efficient handling and manipulation of tensor arrays for financial data.
• Risk Management: Tools for advanced risk assessment and management.
• Algorithmic Differentiation: Capabilities for automatic differentiation to aid in optimization and sensitivity analysis.
• Extensibility: Easy to extend and customize for various financial applications.
• Performance: Optimized for high-performance computations.

Installation

TBD

Usage

Here you can find basic examples of how to use tQuant:

General Objects

• Time handles: how to use time handles.
• Index: how to create index objects.
• Market data: how to handle market data.

Interest Rate and Credit:

• Coupons: how to handle fixed/floating coupons and legs.
• Coupon pricer: price and sensitivities of fixed/floating coupons and legs.
• Forward rate agreement: price and sensitivities of Forward Rate Agreement.
• Interest rate swaps: price and sensitivities of interest rate swaps.
• Bootstrapping: bootstrapping example.
• Credit default swaps: price and sensitivities of credit default swaps.
• Hull and White model: simulation of the Hull and White model.

Contributing

TBD

License

tQuant is licensed under the GPL-3.0 License. See the LICENSE file for more details.

Contact

For any questions or suggestions, feel free to reach out:

• Email: [e-mail]

We hope tQuant proves to be a valuable tool in your financial analysis and risk management tasks. Happy computing!