Warning

FinQuant is an experimental project, currently incomplete and not fit for production.

Roadmap (no set agenda yet)

1. Basic settings
   • Calendar
   • Day counts
   • Schedule generator
2. Markets / Quotes
   • Forex - forward points
   • Forex - volatility
   • Interest Rate - curves (cash rates, futures, swaps)
   • Interest Rate - volatility
3. 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
       • discount + other pricing
     • Option
   • Simulator
4. Interest rate markets
   • Pricer
     • Swap
     • Cap/Floor
   • Simulator