6 skills found
PyFE / PyFENGPython Financial ENGineering (PyFENG package in PyPI.org)
Matteo-Ferrara / Option PricerOption pricing using Black-Scholes model, Bachelier model, Binomial Trees and Monte Carlo simulation under different stochastic processes
QuantMaverick / Options SABR ModelThis project implements the following models to value options in Python: 1. Black-Scholes model 2. Bachelier model 3. Black76 model 4. Displaced-diffusion model 5. SABR model
Quant-Guild / Bachelier ModelNo description available
Captain-R / Swaption PricingThis contains an implementation to price Swaptions using Black/Bachelier/Hull-White/Monte-Carlo models. Vega calculations still remain to be incorporated.
Idriss-Afra / CMS Pricing AnalyticsThis project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.
