2 months ago
This package is now deprecated. This package started by emulating functionality from Quantlib, but the Quantlib.jl package now contains a much larger port of Quantlib. Some of the longer terms goals of this package are now implemented in Miletus, a contract definition and modelling language from Julia Computing.
Ito is a collection of Julia modules containing algorithms for efficient quantitative finance. It includes functions and frameworks for holiday calendars, day count conventions, term structures, stochastic processes and more.
A lot of the functionality is work in progress, but there are hopefully some useful bits already.
Detailed documentation is available at http://aviks.github.com/Ito.jl/