Dominic O'Kane

American vanilla options - Analytical approximations

4

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)

Add Extra Interpolation and Spline Methods for Funding curves

2

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

Bond Portfolio Object for Strategy Analysis

8

Create object that contains a portfolio of bonds Calculate duration, convexity and price Pricing from discount curve object

V0.20 - Documentation

1

All discussions on the new documentation framework.

Add an Equity Index Option product type

2

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...

BBG Testing Examples

2

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,...

Implement numba'd conjugate gradient minimiser

4

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...