dummy-link

FinancialMarkets

Describe and model financial markets objects using Julia

Readme

FinancialMarkets

FinancialMarkets.jl will help you describe and model financial market objects in Julia.

For example:

# Load packages
using Dates, FinancialMarkets
# Create US Dollar object
USD = USD()
# Create 3m USD LIBOR
depo = Deposit(USD, Month(3), 0.05)
# Price depo at trade date
price(depo)

Features

Objects such as:

  • Compounding constants, interest rates, discount factors
  • Financial market calendars, day counters and roll conventions
  • Currencies
  • Stub types
  • Schedules
  • Cash flows
  • Interest rate indices
  • Instruments

Modelling such as:

  • Year fraction calculations
  • Conversion between interest rates and discount factors and between different interest rates
  • Identifying good (and bad) days
  • Adjusting and shifting dates
  • Creating swap date schedules
  • Pricing instruments

Installation

Install FinancialMarkets.jl by running:

Pkg.add("FinancialMarkets")

Obligatory badges

Build Status Coverage Status Documentation Status

First Commit

06/09/2014

Last Touched

5 months ago

Commits

257 commits

Used By: