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FinancialDerivatives

Financial derivatives modeling and pricing in Julia.

Readme

FinancialDerivatives.jl

Build Status

Installation

(v1.0) pkg> add https://github.com/JuliaQuant/FinancialDerivatives.jl

Usage

To price an European option, simply create a new EuropeanOption and pass it to evaluate with the desired valuation model:

julia> using FinancialDerivatives

julia> euro_put = EuropeanOption(100.0, 90.0, 0.05, 0.3, 180/365, -1)

julia> evaluate(euro_put, BlackScholes())
3.2281936525908073

Documentation

First Commit

10/08/2018

Last Touched

about 1 month ago

Commits

28 commits

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