https://github.com/apachecn-archive/squantlib
Science Score: 13.0%
This score indicates how likely this project is to be science-related based on various indicators:
-
○CITATION.cff file
-
✓codemeta.json file
Found codemeta.json file -
○.zenodo.json file
-
○DOI references
-
○Academic publication links
-
○Academic email domains
-
○Institutional organization owner
-
○JOSS paper metadata
-
○Scientific vocabulary similarity
Low similarity (3.9%) to scientific vocabulary
Last synced: 10 months ago
·
JSON representation
Repository
Basic Info
- Host: GitHub
- Owner: apachecn-archive
- Language: Scala
- Default Branch: master
- Size: 15.3 MB
Statistics
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
- Releases: 0
Created about 3 years ago
· Last pushed about 3 years ago
Metadata Files
Readme
README.md
SquantLib
SquantLib is a financial engineering tool written in Scala.
Helps, suggestions and bug-fix are very much appreciated!!
What can it do?
Rates
- Building discountable yield curves from
- cash rate, swap rate, ccy basis swap and 3m/6m basis swap
- non-deliverable swap
- fx swap points
- Draw simple charts
- Compute cashflow discount factor using given discounting currency & spread.
- Build swaption volatility surface
- Pricing simple swaptions
FX
- Compute forward fx
- Build fx volatility surfaces
Equity and Index
- Compute forward price
- Build volatility surfaces
Bond
- Cashflows
- Fixed rate
- Binary
- Sum of linear equations
- Cap, floor
- Forward, Put
- American knock-in
- Issuer's early termination
- Automatic trigger
- Greeks
- rate delta, fx delta
- rate vega, fx vega
- yield (simple, compounding)
- duration (effective, modified, macaulay)
- convexity, etc.
- Analysis
- FX exercise frontier
- Rate exercise frontier
- Forward bond price
- Handling bonds with published prices
Historical
- Historical volatility
- Historical correlation
- Moving average, etc
Exotic
- BS formula
- Montecarlo models
- single factor only for now
- continuous dividend
- discrete dividend + repo
- Model extension
- Exercise frontier pre-computation for issuer's callability
To Do
- More sophisticated pricing models
- Rate exotics (Bermudan swaptions)
Contact
Masakatsu Wakayu (masakatsu.wakayu@imperial-ft.com) Imperial Finance & Technology (http://www.imperial-ft.com)
Owner
- Name: ApacheCN 归档
- Login: apachecn-archive
- Kind: organization
- Email: wizard.z@qq.com
- Repositories: 180
- Profile: https://github.com/apachecn-archive
防止重要项目丢失而设立的归档