Bruno
Bruno: A Julia package for simulation, financial asset pricing and delta hedging - Published in JOSS (2023)
Science Score: 95.0%
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○CITATION.cff file
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✓DOI references
Found 4 DOI reference(s) in README and JOSS metadata -
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Links to: joss.theoj.org -
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1 of 7 committers (14.3%) from academic institutions -
○Institutional organization owner
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✓JOSS paper metadata
Published in Journal of Open Source Software
Keywords from Contributors
Scientific Fields
Repository
Repository for the Julia package with financial tools for data generation, asset pricing and strategy testing
Basic Info
Statistics
- Stars: 38
- Watchers: 4
- Forks: 7
- Open Issues: 9
- Releases: 2
Metadata Files
README.md
Welcome to Bruno.jl!
What is Bruno?
Bruno is a modular, flexible package for simulating financial data, asset pricing, and trading strategy testing.
Bruno is written and maintained by the Analytics Solution Center at Utah State University.
What Bruno can do
Bruno's four main functions are * Describe financial tools like stock options and commodity futures with an intuitive type system * Generate simulated time-series data with parametric and non-parametric models * Price complex assets * Test trading or hedging strategies with historical or simulated prices
Why Bruno?
Financial analysis of trading and hedging strategies can be intensive. This package is intended to make this type of investigation more straightforward and accessible. There are many other software packages that have the capacity to calculate derivative prices, simulate hedging, or generate data. However, none of them have been compiled in a manner that allows for integrated analysis. Rather, each package performs one part of the process independently, and must be assembled by the software user. In contrast, Bruno is novel because it provides a replacement to these independent packages with a fully integrated set of tools for derivatives analysis designed to work in a unified manner in Julia.
Installation Instructions
- Download Julia.
- Bruno is a registered Julia package. So to install it, Launch Julia and type:
```julia julia> using Pkg
julia> Pkg.add("Bruno") ```
Note: The latest version of Bruno strongly suggests at least Julia 1.8 or later to run. While most scripts will run on Julia 1.6 or 1.7, Bruno is only tested on Julia 1.8.
Pricing Your First Asset
julia
using Bruno
stock = Stock(50; volatility=0.3)
call = EuroCallOption(stock, 55; maturity=.5)
price!(call, BlackScholes)
Check out the tutorials for more examples.
Getting In Touch
Whether you need help getting started with Bruno, found a bug, want Bruno to be even better, or just want to chat about computational economics and finance, there are two ways of contacting us:
- Start a discussion. This is great for general questions about numerics, computation finance, experimental or under-documented features, and for getting help setting up a cool new trading strategy simulation.
- Open an issue. Issues are best if you think the Bruno source code needs attention: such as a bug, a type inconsistency error (😱), an important missing feature, or a typo in this documentation 👀.
Citing
If you use Bruno.jl as part of your research, teaching, or other activities, we would be grateful if you could cite our work and mention Bruno.jl by name.
@misc{Bruno.jlPackage,
author = {Mitchell Pound and Spencer Clemens and The Analytics Solution Center at Utah State University}
title = {Bruno.jl}
year = {2022}
url = {https://usu-analytics-solution-center.github.io/Bruno.jl/}
}
Contributing
If you're interested in contributing, we'd LOVE your help! We are always looking to expand the community and make Bruno better.
If you'd like to work on a new feature, or if you're new to open source and want to crowd-source neat projects that fit your interests, you should start a discussion right away.
For more information check out our contributor's guide.
Owner
- Name: USU-Analytics-Solution-Center
- Login: USU-Analytics-Solution-Center
- Kind: organization
- Repositories: 2
- Profile: https://github.com/USU-Analytics-Solution-Center
JOSS Publication
Bruno: A Julia package for simulation, financial asset pricing and delta hedging
Authors
Utah State University
Utah State University
Utah State University
Utah State University
Utah State University
Editor
Mehmet Hakan Satman
Tags
Financial instruments Hedging Options SimulationGitHub Events
Total
- Watch event: 3
- Issue comment event: 1
- Pull request event: 1
- Fork event: 1
Last Year
- Watch event: 3
- Issue comment event: 1
- Pull request event: 1
- Fork event: 1
Committers
Last synced: 5 months ago
Top Committers
| Name | Commits | |
|---|---|---|
| Mitch Pound | m****d@u****u | 139 |
| spencer clemens | s****s@g****m | 92 |
| Mehmet Hakan Satman | m****n@g****m | 6 |
| daniel | d****n@g****m | 3 |
| Pietro Monticone | 3****e | 1 |
| Pedram Jahangiry | p****r@g****m | 1 |
| Arfon Smith | a****n | 1 |
Committer Domains (Top 20 + Academic)
Issues and Pull Requests
Last synced: 4 months ago
All Time
- Total issues: 17
- Total pull requests: 65
- Average time to close issues: 4 days
- Average time to close pull requests: 1 day
- Total issue authors: 6
- Total pull request authors: 7
- Average comments per issue: 0.53
- Average comments per pull request: 0.48
- Merged pull requests: 57
- Bot issues: 0
- Bot pull requests: 0
Past Year
- Issues: 0
- Pull requests: 0
- Average time to close issues: N/A
- Average time to close pull requests: N/A
- Issue authors: 0
- Pull request authors: 0
- Average comments per issue: 0
- Average comments per pull request: 0
- Merged pull requests: 0
- Bot issues: 0
- Bot pull requests: 0
Top Authors
Issue Authors
- lrnv (9)
- Soclemens (4)
- JeffreySarnoff (1)
- mitchellpound (1)
- Ron-Notebooks (1)
- JuliaTagBot (1)
Pull Request Authors
- Soclemens (29)
- mitchellpound (28)
- danielmortensen (3)
- jbytecode (2)
- pitmonticone (1)
- arfon (1)
- dushya50 (1)
Top Labels
Issue Labels
Pull Request Labels
Packages
- Total packages: 1
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Total downloads:
- julia 1 total
- Total dependent packages: 0
- Total dependent repositories: 0
- Total versions: 3
juliahub.com: Bruno
Repository for the Julia package with financial tools for data generation, asset pricing and strategy testing
- Documentation: https://docs.juliahub.com/General/Bruno/stable/
- License: MIT
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Latest release: 0.1.2
published almost 3 years ago
Rankings
Dependencies
- actions/checkout v2 composite
- julia-actions/julia-buildpkg latest composite
- julia-actions/julia-runtest latest composite
- julia-actions/setup-julia latest composite
- JuliaRegistries/TagBot v1 composite
- actions/checkout v2 composite
- julia-actions/setup-julia v1 composite
- actions/checkout v2 composite
- actions/upload-artifact v1 composite
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