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9 search results found

Gs Quant ⭐ 2,272

Python toolkit for quantitative finance

Financepy ⭐ 1,711

A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

Comprehensive automatic differentiation in C++

Notebooks ⭐ 101

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.

Rateslib ⭐ 39

A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.

Appendices ⭐ 25

Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

Isda_simm ⭐ 14

Implementation of ISDA SIMM v2.3~2.6

An Excel integration of OpenGamma Strata.

Rustyqlib ⭐ 7

RustyQlib: A quant library for derivative pricing and quantitative finance

1-9 of 9 search results

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