Miletus.jl-3ae66bd7-4256-56cd-8b87-f856965b5ccf
Last mirrored from https://github.com/JuliaComputing/Miletus.jl.git on 2019-11-19T01:41:53.27-05:00 by @UnofficialJuliaMirrorBot via Travis job 481.22 , triggered by Travis cron job on branch "master"
https://gitlab.com/UnofficialJuliaMirror/Miletus.jl-3ae66bd7-4256-56cd-8b87-f856965b5ccf
Science Score: 18.0%
This score indicates how likely this project is to be science-related based on various indicators:
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✓CITATION.cff file
Found CITATION.cff file -
○codemeta.json file
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○.zenodo.json file
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○DOI references
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○Academic publication links
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○Academic email domains
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○Institutional organization owner
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○JOSS paper metadata
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○Scientific vocabulary similarity
Low similarity (5.2%) to scientific vocabulary
Repository
Last mirrored from https://github.com/JuliaComputing/Miletus.jl.git on 2019-11-19T01:41:53.27-05:00 by @UnofficialJuliaMirrorBot via Travis job 481.22 , triggered by Travis cron job on branch "master"
Basic Info
- Host: gitlab.com
- Owner: UnofficialJuliaMirror
- Default Branch: master
Statistics
- Stars: 0
- Forks: 0
- Open Issues:
- Releases: 0
Metadata Files
README.md
Miletus.jl
Miletus is a financial contract modelling language written in Julia, based on papers by Peyton Jones and Eber [PJ&E2000],[PJ&E2003] (more closely modelled on the second one).
```julia using Miletus using Dates: today, Day
s = SingleStock()
d1 = today() d2 = d1 + Day(120)
Arguments: Date, Stock, Strike
eucall = EuropeanCall(d2, s, 100.00) euput = EuropeanPut(d2, s, 100.00) amcall = AmericanCall(d2, s, 100.00) amput = AmericanPut(d2, s, 100.00)
m = GeomBMModel(d1, 100.00, 0.05, 0.0, 0.1) value(m, eucall) value(m, euput)
m = CRRModel(d1,d2,100, 100.00, 0.05, 0.0, 0.1) value(m, eucall) value(m, euput) value(m, amcall) value(m, amput) ```
References
[PJ&E2000]: Simon Peyton Jones and Jean-Marc Eber, "Composing contracts: an adventure in financial engineering". Julian Seward. ICFP 2000.
[PJ&E2003]: Simon Peyton Jones and Jean-Marc Eber, "How to write a financial contract", in "The Fun of Programming", ed Gibbons and de Moor, Palgrave Macmillan 2003.
Citation (CITATION.bib)
@misc{Miletus.jl-2019,
title={Miletus: Writing financial contracts in Julia},
author={Simon Byrne},
year={2019},
url={https://github.com/JuliaComputing/Miletus.jl}
}
Dependencies
- BusinessDays *
- ForwardDiff *
- Optim *
- Reexport *
- SpecialFunctions *
- StatsBase *
- StatsFuns *
- julia 0.7
- Colors *
- Compose *
- Documenter *
- Gadfly *
- GraphPlot *
- LightGraphs *
- Miletus *
- CSV *
- DataFrames *