50 releases
new 0.0.50 | Oct 30, 2024 |
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0.0.48 | Jul 28, 2024 |
0.0.38 | Mar 12, 2024 |
0.0.35 | Dec 8, 2023 |
0.0.31 | Nov 24, 2023 |
#34 in Finance
306 downloads per month
525KB
10K
SLoC
Warning
FinQuant is an experimental project, currently incomplete and not fit for production.
Roadmap (no set agenda yet)
- Basic settings
- Calendar inline with QuantLib v1.36
- Day counts
- Schedule generator
- Markets / Quotes
- Forex - forward points
- Forex - volatility
- Interest Rate - curves (cash rates, futures, swaps)
- Interest Rate - volatility
- Forex markets
- Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
- Forward
- forward points generator
- pricing + greeks
- Option
- implied vol generator
- pricing + greeks
- Forward
- Simulator
- Monte Carlo
- Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
- Interest rate markets
- Pricer
- Swap
- Cap/Floor
- Simulator
- Monte Carlo
- Pricer
Dependencies
~2.5–3.5MB
~71K SLoC