derivatives

There are 374 repositories under derivatives topic.

  • goldmansachs/gs-quant

    Python toolkit for quantitative finance

    Language:Jupyter Notebook8.4k164311.1k
  • FinancePy

    domokane/FinancePy

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

    Language:Jupyter Notebook2.3k72122330

  • casadi/casadi

    CasADi is a symbolic framework for numeric optimization implementing automatic differentiation in forward and reverse modes on sparse matrix-valued computational graphs. It supports self-contained C-code generation and interfaces state-of-the-art codes such as SUNDIALS, IPOPT etc. It can be used from C++, Python or Matlab/Octave.

    Language:C++1.8k553.3k398

  • autodiff/autodiff

    automatic differentiation made easier for C++

    Language:C++1.7k43198175
  • synthetix

    Synthetixio/synthetix

    Synthetix Solidity smart contracts

    Language:JavaScript1.2k54130609

  • OpenGamma/Strata

    Open source analytics and market risk library from OpenGamma

    Language:Java87290429289

  • 0xperp/defi-derivatives

    A hopefully comprehensive guide to the defi derivative landscape

    775311110

  • dbrojas/optlib

    A library for financial options pricing written in Python.

    Language:Python68012092

  • s-brez/trading-server

    Multi-asset, multi-strategy, event-driven trading platform for running low to medium freq strategies at many venues simultaneously with portfolio-based risk management and %-per-strategy capital allocation. Supports event-driven backtesting across all desired instruments, venues and strategies under a single parameterized portfolio.

    Language:Python631384120

  • quantsbin/Quantsbin

    Quantitative Finance tools

    Language:Python50516469

  • fremantle-industries/tai

    A composable, real time, market data and trade execution toolkit. Built with Elixir, runs on the Erlang virtual machine

    Language:Elixir469261278

  • VarunS2002/Python-NSE-Option-Chain-Analyzer

    The NSE has a website which displays the option chain in near real-time. This program retrieves this data from the NSE site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain and visually displays the trend in various indicators useful for Technical Analysis.

    Language:Python4384569220
  • symja_android_library

    axkr/symja_android_library

    :coffee: Symja - computer algebra language & symbolic math library. A collection of popular algorithms implemented in pure Java.

    Language:Java4001537088
  • xad

    auto-differentiation/xad

    Powerful automatic differentiation in C++ and Python

    Language:C++355112141

  • boyac/pyOptionPricing

    Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging

    Language:Python2954230

  • spacious-team/investbook

    Оценка эффективности инвестиций с учетом комиссий, налогов (удержанных и ожидающихся), дивидендов и купонов.

    Language:Java2814921683

  • JuliaDiff/FiniteDiff.jl

    Fast non-allocating calculations of gradients, Jacobians, and Hessians with sparsity support

    Language:Julia266126939

  • hugohadfield/kalmangrad

    Automated, smooth, N'th order derivatives of non-uniformly sampled time series data

    Language:Python226237

  • AnthonyBradford/optionmatrix

    Financial Derivatives Calculator with 171+ Models (Options Calculator)

    Language:C++20617346

  • sambacha/compendium

    The Greatest Collection of anything related to finance and crypto

    Language:Jupyter Notebook2047028
  • rateslib

    attack68/rateslib

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

    Language:Python186411835

  • jkirkby3/PROJ_Option_Pricing_Matlab

    Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

    Language:MATLAB1796267

  • lambdaclass/options_backtester

    Simple backtesting software for options

    Language:Jupyter Notebook170294030

  • PyFE/PyFENG

    Python Financial ENGineering (PyFENG package in PyPI.org)

    Language:Python15851873
  • notebooks

    differential-machine-learning/notebooks

    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.

    Language:Jupyter Notebook13815451

  • yzoz/python-option-calculator

    Vanilla option pricing and visualisation using Black-Scholes model in pure Python

    Language:Python1253245

  • tpmmthomas/binance-copy-trade-bot

    A telegram copy trading bot that follows cryptocurrency derivatives trade on the binance leaderboard.

    Language:Python121112751

  • Matteo-Ferrara/gex-tracker

    Dealers' gamma exposure (GEX) tracker

    Language:Python1192443

  • gabrielepompa88/pyBlackScholesAnalytics

    Options and Option Strategies analytics for educational purpose using the Black-Scholes Model

    Language:Jupyter Notebook1139131

  • JamesYang007/FastAD

    FastAD is a C++ implementation of automatic differentiation both forward and reverse mode.

    Language:C++1085333
  • DL4S

    palle-k/DL4S

    Accelerated tensor operations and dynamic neural networks based on reverse mode automatic differentiation for every device that can run Swift - from watchOS to Linux

    Language:Swift1065513

  • TechfaneTechnologies/QtsApp

    The Python Library For QtsApp which displays the option chain in near real-time. This program retrieves this data from the QtsApp site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain along with Implied Volatatlity (IV), Open Interest (OI), Delta, Theta, Vega, Gamma, Vanna, Charm, Speed, Zomma, Color, Volga, Veta at an interval of a second and visually displays the trend in various indicators useful for Technical Analysis.

    Language:Python962725

  • muhasturk/ukupgrade

    Upgrade latest kernel automatically for Ubuntu and derivatives such as Linux Mint. :runner:

    Language:Shell907935

  • MARKETProtocol/MARKETProtocol

    Ethereum based derivatives trading protocol creating digital tokens for any asset

    Language:JavaScript832213042

  • crypto-chassis/cryptochassis-data-api-docs

    A REST API providing snapshot, tick, and aggregated market data for crypto-currencies

    777111

  • harsh-vardhhan/Option-Trading-Backend

    Option trading platform on NSE (India) for Upstox

    Language:Python594024