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.
Does this https://github.com/domokane/FinancePy/blob/master/__init__.py have any purpose? Any imports depend on it? (we need to refactor them if they do)
Is the intent in \_\_init\_\_ is to print the greeting? https://github.com/domokane/FinancePy/blob/6789f6a338793ba3c78aa74ef9dedca65fe2cd0e/financepy/__init__.py#L3-L9 On formatting side mybe settle for `"""` - string as below? also can use `"\n".join()` if need to be...
Add a product type for an option on an equity index called FinEquityIndexOption This is similar to an Equity vanilla option but customised to index options. The option can be...
If anyone has access to Bloomberg analytics that I can compare to then please send examples. Especially with regards to - Bonds - bullet, floating rate notes, perpetuals, step-ups, callable,...
It would be very helpful to have a normal vol (bachelier) SABR pricing model. I know the bachelier model exists as an alternative to black's, but the SABR formulation is...
Vol cub objects would be very helpful, possibly if they are SABR vol cubes. could pass a series of VolSurface objects at varying strikes, or perhaps the SABR parameter matrices...
The conjugate gradient descent algorithm in scipy is slow and prevents the calling function from being jitted by numba. Idea is to find a python version of the CG minimiser...
Scipy optimisers are used in a number of locations. However it is not been possible to Numba the objection functions. I have rewritten the optimisers in FinSolver but there are...
FinDate has been implemented with only some Python datetime dependency in a few functions. However the issue of processing speed is becoming more important. I would be interested to know...