FinMarkets.jl

Describe and model financial markets objects using Julia
Popularity
21 Stars
Updated Last
11 Months Ago
Started In
June 2014

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