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casadi / casadi

Star 901

CasADi is a symbolic framework for numeric optimization implementing automatic differentiation in forward and reverse modes on sparse matrix-valued computational graphs. It supports self-contained C-code generation and interfaces state-of-the-art codes such as SUNDIALS, IPOPT etc. It can be used from C++, Python or Matlab/Octave.

python c-plus-plus library modular optimization matlab mathematics nonlinear octave numerical-calculations scientific-computing derivatives code-generation parameter-estimation academic-project optimal-control symbolic-manipulation algorithmic-differentation nonlinear-programming
  • Updated Jan 26, 2022
  • C++
FinancePy

domokane / FinancePy

Star 747
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discount curve from fx forwards / cross currency basis swaps

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ahabre
ahabre commented Aug 8, 2021

Is there a way to calibrate a discount curve from traded fx forwards?

Taking USDJPY as an example. As an input I have the fx spot, 1M, 3M and 6M forwards , I have also built a USD OIS discount curve. I want to create a JPY discount curve such that I can reprice correctly all of the fx forwards I observe in the market. Is that possible with the current library?

As an extension to the above,

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enhancement good first issue Finance Quant Python Task
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synthetix

Synthetixio / synthetix

Star 735
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s-brez / trading-server

Star 368

A multi-asset, multi-strategy, event-driven trade execution and management platform for running many algorithms/bots at many venues simultaneously with unified risk management and reporting. Uses MongoDB for storage and Telegram for user notifications/trade consent.

mongodb telegram trading trading-bot algo-trading forex cryptocurrency derivatives trading-platform technical-analysis futures algorithmic-trading backtest quantitative-trading bitmex backtesting binance portfolio-management trading-execution ftx
  • Updated Mar 9, 2021
  • Python

VarunS2002 / Python-NSE-Option-Chain-Analyzer

Star 152

The NSE has a website which displays the option chain in near real-time. This program retrieves this data from the NSE site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain and visually displays the trend in various indicators useful for Technical Analysis

python app options analysis script derivatives equity program nse nifty web-scrapping strike-price sameer option-chain dharaskar
  • Updated Nov 3, 2021
  • Python
notebooks

differential-machine-learning / notebooks

Star 70

Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

machine-learning deep-learning tensorflow automatic-differentiation pricing derivatives quantitative-finance notebooks regression-models backpropagation risk-management computational-finance aad risk-magazine
  • Updated Nov 26, 2021
  • Jupyter Notebook

jkirkby3 / PROJ_Option_Pricing_Matlab

Star 62

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

options monte-carlo derivatives option-pricing quantitative-finance american-options jump-diffusion stochastic-volatility-models black-scholes fourier-transform sabr european-options levy-processes heston-model asian-option bermudan-option lookback-option variance-swap barrier-option quant-finance
  • Updated Sep 22, 2021
  • MATLAB

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