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FinancePy

domokane / FinancePy

Star 842
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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
Find more good first issues

letianzj / QuantResearch

Star 768

Quantitative analysis, strategies and backtests

data-science machine-learning reinforcement-learning deep-learning algotrading trading-strategies trading-algorithms quantitative-finance financial-analysis algorithmic-trading backtesting-trading-strategies asset-allocation quantitative-trading pairs-trading risk-management asset-management statistical-arbitrage portfolio-management derivatives-pricing backtests
  • Updated Jun 1, 2022
  • Jupyter Notebook

tern-tools / tern

Star 716

center-for-threat-informed-defense / attack-control-framework-mappings

Star 302

Security control framework mappings to MITRE ATT&CK provide a critically important resource for organizations to assess their security control coverage against real-world threats and provide a bridge for integrating ATT&CK-based threat information into the risk management process.

cybersecurity cti risk-management nist800-53 ctid mitre-attack cyber-threat-intelligence security-controls threat-informed-defense
  • Updated Mar 8, 2022
  • Python
notebooks

differential-machine-learning / notebooks

Star 81

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

MBKraus / Python_Portfolio__VaR_Tool

Star 77

Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other (ex-post) risk/return characteristics both on an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)

python portfolio benchmark risk heatmap beta stock monte-carlo-simulation sharpe-ratio wxpython investment return yahoo-finance value-at-risk risk-management sp500-real-time-data variance-covariance historical-simulation geometric-brownian-motion stock-widget
  • Updated Feb 17, 2021
  • Python
vPrioritizer

varchashva / vPrioritizer

Star 60

vPrioritizer enables us to understand the contextualized risk (vPRisk) on asset-vulnerability relationship level across the organization, for teams to make more informed decision about what (vulnerability/ties) they should remediate (or can afford not to) and on which (asset/s)

python risk django-application information-security vulnerability-management risk-management prioritization security-analytics community-analytics prioritization-algorithm
  • Updated Oct 26, 2021
  • CSS

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