miletus.jl-3ae66bd7-4256-56cd-8b87-f856965b5ccf

Last snapshots taken from https://github.com/UnofficialJuliaMirror/Miletus.jl-3ae66bd7-4256-56cd-8b87-f856965b5ccf on 2019-11-20T09:34:58.782-05:00 by @UnofficialJuliaMirrorBot via Travis job 153.23 , triggered by Travis cron job on branch "master"

https://github.com/unofficialjuliamirrorsnapshots/miletus.jl-3ae66bd7-4256-56cd-8b87-f856965b5ccf

Science Score: 18.0%

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Repository

Basic Info

Host: GitHub
Owner: UnofficialJuliaMirrorSnapshots
License: other
Language: Julia
Default Branch: master
Size: 158 KB

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Created almost 7 years ago · Last pushed almost 7 years ago

Metadata Files

Readme License Citation

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.

Owner

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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}
}

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