qfrm
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