zeta1999 / financialmarkets.jl

Describe and model financial markets objects using Julia

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")

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