/qfrm

Python tools to quantitatively manage financial risk

Primary LanguagePython

qfrm

Build Status Code Climate Issue Count

Quantitative Financial Risk Management (qfrm) is a set of analytical tools to measure, manage, and visualize identified risks of financial derivatives and portfolios.

What qfrm does

Option Pricing

qfrm can price a variety of vanilla and exotic options using Black-Scholes, Lattice, Finite Difference, and Monte Carlo models.

Option Name Black-Scholes Lattice Monte Carlo Finite Difference
Example ✅ (supported) ❌ (not supported) - (not applicable)
American
Asian
Barrier
Basket
Bermudan
Binary
Boston
Chooser
Compound
ContingentPremium
European
Exchange
ForwardStart
Gap
Ladder
Lookback
LowExercisePrice
PerpetualAmerican
Quanto
Rainbow
Shout
Spread
VarianceSwap

Installation

To install from PyPI using pip:

pip install qfrm

Usage

TODO

History

This project was created by undergraduate and graduate students at Rice University for the Fall 2015 QFRM course taught by Oleg Melnikov.

A QFRM package for R was also created during the Spring 2015 QFRM course.

The QFRM course is part of Rice University's Center for Computational Finance and Economic Systems (CoFES) Financial Computation and Modeling (FCAM) Minor for undergraduate study, led by Dr. Katherine Ensor.

Original contributors to this project:

  • Oleg Melnikov
  • Thaw Da Aung
  • Yen-Fei Chen
  • Patrick Granahan
  • Hanting Li
  • Sha (Andy) Liao
  • Scott Morgan
  • Andrew M. Weatherly
  • Mengyan Xie
  • Tianyi Yao
  • Runmin Zhang

See contributors for a full list of contributors. Thank you to all contributors!

License

TBD