https://github.com/JuliaComputing/Miletus.jl

Writing financial contracts in Julia
https://github.com/JuliaComputing/Miletus.jl

finance julia options-pricing options-trading

Last synced: about 2 months ago
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Writing financial contracts in Julia

• Host: GitHub
• URL: https://github.com/JuliaComputing/Miletus.jl
• Owner: JuliaComputing
• License: other
• Created: 2019-03-08T22:16:45.000Z (over 5 years ago)
• Default Branch: master
• Last Pushed: 2023-12-07T23:52:36.000Z (10 months ago)
• Last Synced: 2024-04-26T07:01:20.388Z (5 months ago)
• Topics: finance, julia, options-pricing, options-trading
• Language: Julia
• Homepage: https://juliahub.com/ui/Packages/Miletus/Sk1m2/
• Size: 290 KB
• Stars: 81
• Watchers: 12
• Forks: 22
• Open Issues: 4
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.md
  • Citation: CITATION.bib

Awesome Lists containing this project

• awesome-quant - Miletus.jl - A financial contract definition, modeling language, and valuation framework. (Julia / FrameWorks)

README

        
# Miletus.jl

[![Stable](https://img.shields.io/badge/docs-stable-blue.svg)](https://docs.juliahub.com/Miletus/Sk1m2/)

[![version](https://juliahub.com/docs/Miletus/version.svg)](https://juliahub.com/ui/Packages/Miletus/Sk1m2)

*Miletus* is a financial contract modelling language written in Julia, based on papers by Peyton Jones and Eber [[PJ&E2000]](#PJE2000),[[PJ&E2003]](#PJE2003) (more closely modelled on the second one).

```julia

using Miletus

using Dates: today, Day

s = SingleStock()

d1 = today()

d2 = d1 + Day(120)

# Arguments: Date, Stock, Strike

eucall = EuropeanCall(d2, s, 100.00)

euput  = EuropeanPut(d2, s, 100.00)

amcall = AmericanCall(d2, s, 100.00)

amput  = AmericanPut(d2, s, 100.00)

m = GeomBMModel(d1, 100.00, 0.05, 0.0, 0.1)

value(m, eucall)

value(m, euput)

m = CRRModel(d1,d2,100, 100.00, 0.05, 0.0, 0.1)

value(m, eucall)

value(m, euput)

value(m, amcall)

value(m, amput)

```

# References

* [PJ&E2000]: Simon Peyton Jones and Jean-Marc Eber, ["Composing contracts: an adventure in financial engineering"](http://research.microsoft.com/en-us/um/people/simonpj/Papers/financial-contracts/contracts-icfp.htm). Julian Seward. ICFP 2000. 

* [PJ&E2003]: Simon Peyton Jones and Jean-Marc Eber, ["How to write a financial contract"](http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.14.7885), in "The Fun of Programming", ed Gibbons and de Moor, Palgrave Macmillan 2003.