This package aims to provide a pure Julia version of the popular open source library QuantLib (written in C++ and interfaced with other languages via SWIG). Right now the package is in an alpha state, but there is quite a bit of functionality already.
using Pkg; Pkg.add("QuantLib")Note: only supports versions of Julia 1.0 and up
The package essentially contains the main QuantLib module and two sub-modules for various time-based and math-based operations. Below is a fairly up-to-date status of what is included.
Documentation: http://quantlibjl.readthedocs.org/en/latest/
Interpolations:
- Backward Flat
- Linear
- Log Linear
- Cubic Spline
- BiCubic Spline (implemented with Dierckx)
Optimization methods:
- Simplex
- Levenberg Marquardt
Solvers:
- Brent
- Finite Differences
- Newton
Calendars (adopted from BusinessDays.jl and Ito.jl):
- Target (basically a null calendar with basic holidays)
- US Settlement Calendar
- US NYSE Calendar
- US NERC Calendar
- UK Settlement Calendar
- UK LSE Calendar
- UK LME Calendar
Day Counters:
- Actual 360
- Actual 365
- Bond Thirty 360
- Euro Bond Thirty 360
- ISMA Actual
- ISDA Actual
- AFBA Actual
Bonds:
- Fixed Rate Bond
- Floating Rate Bond
Options:
- Vanilla Option
- Swaption
- Nonstandard Swaption (used for Gaussian methods)
Swaps:
- Vanilla Swap
- Nonstandard Swap (used for Gaussian methods)
- Credit Default Swap (partial)
- Ibor
- Libor
- Euribor
- USD Libor
- Euribor Swap ISDA
- Finite Differences
- Trinomial Tree
- Tree Lattice 1D & 2D
- Monte Carlo
Short Rate:
- Black Karasinski
- Gaussian Short Rate (GSR)
- Hull White
- G2
Equity:
- Bates Model
- Heston Model
Market Models
- Flat Vol
Bond:
- Discounting Bond Engine
- Tree Callable Fixed Rate Bond Engine
- Black Callable Fixed Rate Bond Engine
Swap:
- Discounting Swap Engine
Credit:
- MidPoint CDS Engine
Swaptions:
- Black Swaption Engine
- Finite Differences Hull White Pricing Engine
- Finite Differences G2 Pricing Engine
- G2 Swaption Engine
- Gaussian 1D Nonstandard Swaption Engine
- Gaussian 1D Swaption Engine
- Jamshidian Swaption Engine
- Tree Swaption Engine
Vanilla:
- Analytic European Engine (for black scholes)
- Analytic Heston Engine
- Barone Adesi Whaley Engine
- Bates Engine
- Binomial Engine
- Bjerksund Stensland Approximation Engine
- FD Vanilla Engine
- Integral Engine
- MonteCarlo American Engine
- MonteCarlo European Engine
General:
- Black Scholes Calculator
- Black Formula
- MonteCarlo Simulation
- Lattice ShortRate Model Engine
- Black Scholes Process
- Ornstein Uhlenbeck Process
- Gaussian Short Rate Process
- Bates Process
- Heston Process
Credit:
- Piecewise Default Curve
- Interpolated Hazard Rate Curve
Volatility:
- Black Constant Vol
- Constant Optionlet Volatility
- Constant Swaption Volatility
- Local Constant Vol
Yield:
- Flat Forward
- Fitted Bond Curve (various fitting methods)
- Piecewise Yield Curve
- Discount Curve
using QuantLib
using Dates
settlement_date = Date(2008, 9, 18) # construct settlement date
# settings is a global singleton that contains global settings
set_eval_date!(settings, settlement_date - Dates.Day(3))
# settings that we will need to construct the yield curve
freq = QuantLib.Time.Semiannual()
tenor = QuantLib.Time.TenorPeriod(freq)
conv = QuantLib.Time.Unadjusted()
conv_depo = QuantLib.Time.ModifiedFollowing()
rule = QuantLib.Time.DateGenerationBackwards()
calendar = QuantLib.Time.USGovernmentBondCalendar()
dc_depo = QuantLib.Time.Actual365()
dc = QuantLib.Time.ISDAActualActual()
dc_bond = QuantLib.Time.ISMAActualActual()
fixing_days = 3
# build depos
depo_rates = [0.0096, 0.0145, 0.0194]
depo_tens = [Dates.Month(3), Dates.Month(6), Dates.Month(12)]
# build bonds
issue_dates = [Date(2005, 3, 15), Date(2005, 6, 15), Date(2006, 6, 30), Date(2002, 11, 15),
Date(1987, 5, 15)]
mat_dates = [Date(2010, 8, 31), Date(2011, 8, 31), Date(2013, 8, 31), Date(2018, 8, 15),
Date(2038, 5, 15)]
coupon_rates = [0.02375, 0.04625, 0.03125, 0.04000, 0.04500]
market_quotes = [100.390625, 106.21875, 100.59375, 101.6875, 102.140625]
# construct the deposit and fixed rate bond helpers
insts = Vector{BootstrapHelper}(undef, length(depo_rates) + length(issue_dates))
for i = 1:length(depo_rates)
depo_quote = Quote(depo_rates[i])
depo_tenor = QuantLib.Time.TenorPeriod(depo_tens[i])
depo = DepositRateHelper(depo_quote, depo_tenor, fixing_days, calendar, conv_depo, true, dc_depo)
insts[i] = depo
end
for i =1:length(coupon_rates)
term_date = mat_dates[i]
rate = coupon_rates[i]
issue_date = issue_dates[i]
market_quote = market_quotes[i]
sched = QuantLib.Time.Schedule(issue_date, term_date, tenor, conv, conv, rule, true)
bond = FixedRateBondHelper(Quote(market_quote), FixedRateBond(3, 100.0, sched, rate, dc_bond, conv,
100.0, issue_date, calendar, DiscountingBondEngine()))
insts[i + length(depo_rates)] = bond
end
# Construct the Yield Curve
interp = QuantLib.Math.LogLinear()
trait = Discount()
bootstrap = IterativeBootstrap()
yts = PiecewiseYieldCurve(settlement_date, insts, dc, interp, trait, 0.00000000001, bootstrap)
# Build it
calculate!(yts)
# Build our Fixed Rate Bond
settlement_days = 3
face_amount = 100.0
fixed_schedule = QuantLib.Time.Schedule(Date(2007, 5, 15), Date(2017, 5, 15),
QuantLib.Time.TenorPeriod(QuantLib.Time.Semiannual()), QuantLib.Time.Unadjusted(),
QuantLib.Time.Unadjusted(), QuantLib.Time.DateGenerationBackwards(), false,
QuantLib.Time.USGovernmentBondCalendar())
pe = DiscountingBondEngine(yts)
fixedrate_bond = FixedRateBond(settlement_days, face_amount, fixed_schedule, 0.045,
QuantLib.Time.ISMAActualActual(), QuantLib.Time.ModifiedFollowing(), 100.0,
Date(2007, 5, 15), fixed_schedule.cal, pe)
# Calculate NPV
npv(fixedrate_bond) # 107.66828913260542