Dominic O'Kane

Hi Matt - I am in the middle of a refactoring now. The aim is to make the library more pep8 compliant. This should be done in a week or...

You’re welcome to do it. Use FinEquityOption as a guide. Let me know if you have any questions. Regards D From: Sean Koval Sent: 11 February 2021 19:40 To: domokane/FinancePy...

I am working towards something like this at the moment. Currently I am working on a swaption calibration (all swaps to same maturity date) using SABR and shifted-SABR. Once this...

This has been assigned to someone.

Hi - I am quite busy at the moment but I can look at it. However one of the hopes of a Python library was that others may contribute so...

Can you give me all of the code you used ?

Hi - this has been fixed. I added your test https://github.com/domokane/FinancePy/blob/master/tests_golden/TestFinBondZeroCoupon.py You will need to build it yourself or wait until the weekend and I will push a new version...

Is there a specific asset class or product that you feel close to being a specialist in ? That would probably be best.

I have implemented variance swaps. Here is a description of volatility swaps by Derman. https://www.researchgate.net/publication/246869706_More_Than_You_Ever_Wanted_to_Know_About_Volatility_Swaps

Sounds good!