{"id":18084112,"url":"https://github.com/aleCombi/Hedgehog.jl","last_synced_at":"2025-03-28T23:32:12.007Z","repository":{"id":257304856,"uuid":"850304060","full_name":"aleCombi/DerivativesPricer","owner":"aleCombi","description":"Julia library for pricing linear interest rate derivatives.","archived":false,"fork":false,"pushed_at":"2024-10-27T19:53:04.000Z","size":264,"stargazers_count":0,"open_issues_count":10,"forks_count":0,"subscribers_count":1,"default_branch":"master","last_synced_at":"2024-10-27T20:00:41.354Z","etag":null,"topics":["finance","interest-rate-derivatives","julia","quantitative-finance"],"latest_commit_sha":null,"homepage":"","language":"Julia","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/aleCombi.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE.txt","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2024-08-31T12:11:00.000Z","updated_at":"2024-10-27T19:53:08.000Z","dependencies_parsed_at":"2024-09-15T21:36:25.713Z","dependency_job_id":"9da1dd20-9c35-422d-941d-6023bfdb8ae3","html_url":"https://github.com/aleCombi/DerivativesPricer","commit_stats":null,"previous_names":["alecombi/juliaexperiment","alecombi/derivativespricer"],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aleCombi%2FDerivativesPricer","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aleCombi%2FDerivativesPricer/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aleCombi%2FDerivativesPricer/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aleCombi%2FDerivativesPricer/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/aleCombi","download_url":"https://codeload.github.com/aleCombi/DerivativesPricer/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":222431531,"owners_count":16983387,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["finance","interest-rate-derivatives","julia","quantitative-finance"],"created_at":"2024-10-31T15:05:45.645Z","updated_at":"2025-03-28T23:32:11.998Z","avatar_url":"https://github.com/aleCombi.png","language":"Julia","funding_links":[],"categories":[],"sub_categories":[],"readme":"# Hedgehog.jl\n\n\u003ctable\u003e\n  \u003ctr\u003e\n    \u003ctd\u003e\u003cstrong\u003eTest\u003c/strong\u003e\u003c/td\u003e\n    \u003ctd\u003e\u003ca href=\"https://github.com/aleCombi/Hedgehog.jl/actions\"\u003e\n      \u003cimg src=\"https://github.com/aleCombi/Hedgehog.jl/actions/workflows/ci.yml/badge.svg?event=push\" alt=\"Test Passing\"\u003e\u003c/a\u003e\n    \u003c/td\u003e\n  \u003c/tr\u003e\n  \u003ctr\u003e\n    \u003ctd\u003e\u003cstrong\u003eCoverage\u003c/strong\u003e\u003c/td\u003e\n    \u003ctd\u003e\u003ca href='https://coveralls.io/github/aleCombi/Hedgehog.jl?branch=master'\u003e\u003cimg src='https://coveralls.io/repos/github/aleCombi/Hedgehog.jl/badge.svg?branch=master\u0026service=github' alt='Coverage Status' /\u003e\u003c/a\u003e\n    \u003c/td\u003e\n  \u003c/tr\u003e\n  \u003ctr\u003e\n    \u003ctd\u003e\u003cstrong\u003eLicense\u003c/strong\u003e\u003c/td\u003e\n    \u003ctd\u003e\u003ca href=\"https://opensource.org/licenses/MIT\"\u003e\n      \u003cimg src=\"https://img.shields.io/badge/License-MIT-yellow.svg\" alt=\"License: MIT\"\u003e\u003c/a\u003e\n    \u003c/td\u003e\n  \u003c/tr\u003e\n    \u003ctr\u003e\n    \u003ctd\u003e\u003cstrong\u003eCode Quality\u003c/strong\u003e\u003c/td\u003e\n    \u003ctd\u003e\u003ca href=\"https://github.com/JuliaTesting/Aqua.jl\"\u003e\n      \u003cimg src=\"https://raw.githubusercontent.com/JuliaTesting/Aqua.jl/master/badge.svg\" alt=\"Aqua QA\"\u003e\u003c/a\u003e\n    \u003c/td\u003e\n  \u003c/tr\u003e\n\u003c/table\u003e\n\nThis library aims at pricing linear interest rates (IR) derivatives using a multi-curve framework.\n\n## Features\n\n  1. Daycount conventions,\n  2. Schedules generation, with business days adjustments (e.g.: Modified Following) and roll conventions (e.g.: End-Of-Month),\n  3. Discount factors and forward rates calculations,\n  4. Representation of fixed and floating rate swap legs,\n  5. Rate curves based on a flat rate or an interpolation,\n  6. Pricing of fixed and floating rate swap legs using rate curves.\n\nThe library has Symbolics.jl as a dependency with the purpose of running calculations symbolically for debugging or validation purposes.\n\n## Roadmap\n\n- Decouple modules low level functionality for better unit testing, write orchestrators separately.\n- Support Rate Curves interpolation in the space of rates rather than discount factors directly, based on a selected RateType (COMPLETE).\n- Develop a calibration routine for a single curve.\n- Setup for MultiCurve pricing in a single currency.\n- Proper testing and benchmarking with Quantlib.py. (See Issue [#2](#2))\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2FaleCombi%2FHedgehog.jl","html_url":"https://awesome.ecosyste.ms/projects/github.com%2FaleCombi%2FHedgehog.jl","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2FaleCombi%2FHedgehog.jl/lists"}