FinancePy
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domokane
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
I'd like to test a zero-coupon bond. I set the freq_type=FrequencyTypes.SIMPLE. It throwed an ZeroDivisionError: ``` calendar = Calendar(self._calendar_type) frequency = annual_frequency(self._freq_type) > num_months = int(12 / frequency) financepy\utils\schedule.py:135: ZeroDivisionError...
Hi Is it possible to add the following popular equity vol product? equity volatility swap equity corridor variance swap equity forward volatility agreement Regards JP
Add to the model library a set of the American option approximations within Black-Scholes using * Barone-Adesi and Whaley. * Bjerksund and Stensland (1993 and 2002)
Would like to add additional methods from Hagan West. Forward Monotone Convex Spline Raw Interpolation Minimalist Quadratic Interpolator An implementation can be found here. https://github.com/KNFO-MIMUW/Hagan_West_interpolation
Create object that contains a portfolio of bonds Calculate duration, convexity and price Pricing from discount curve object
Hi, Is it possible to add an equity autocallable product? https://mikejuniperhill.blogspot.com/2019/11/quantlib-python-heston-monte-carlo.html?m=1 Regards JP
Is there a way to calibrate a discount curve from traded fx forwards? Taking USDJPY as an example. As an input I have the fx spot, 1M, 3M and 6M...
I'm attempting to fit an SSVI surface to equity vols following the example in the notebook below, but using SSVI. When I try to fit SSVI though it produces a...
Hi Dominic, Would it be possible to adapt FinFXVolSurfacePlus to Equities in order to fit the vol surface with a set of delta strikes as input [10DP; 25DP; ATM; 25DC;10DC]...
