https://github.com/aleCombi/Hedgehog.jl

Julia library for pricing linear interest rate derivatives.
https://github.com/aleCombi/Hedgehog.jl

finance interest-rate-derivatives julia quantitative-finance

Last synced: about 1 year ago
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Julia library for pricing linear interest rate derivatives.

• Host: GitHub
• URL: https://github.com/aleCombi/Hedgehog.jl
• Owner: aleCombi
• License: mit
• Created: 2024-08-31T12:11:00.000Z (almost 2 years ago)
• Default Branch: master
• Last Pushed: 2024-10-27T19:53:04.000Z (over 1 year ago)
• Last Synced: 2024-10-27T20:00:41.354Z (over 1 year ago)
• Topics: finance, interest-rate-derivatives, julia, quantitative-finance
• Language: Julia
• Homepage:
• Size: 258 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 10
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.txt

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README

          
# Hedgehog.jl

  

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This library aims at pricing linear interest rates (IR) derivatives using a multi-curve framework.

## Features

  1. Daycount conventions,

  2. Schedules generation, with business days adjustments (e.g.: Modified Following) and roll conventions (e.g.: End-Of-Month),

  3. Discount factors and forward rates calculations,

  4. Representation of fixed and floating rate swap legs,

  5. Rate curves based on a flat rate or an interpolation,

  6. Pricing of fixed and floating rate swap legs using rate curves.

The library has Symbolics.jl as a dependency with the purpose of running calculations symbolically for debugging or validation purposes.

## Roadmap

- Decouple modules low level functionality for better unit testing, write orchestrators separately.

- Support Rate Curves interpolation in the space of rates rather than discount factors directly, based on a selected RateType (COMPLETE).

- Develop a calibration routine for a single curve.

- Setup for MultiCurve pricing in a single currency.

- Proper testing and benchmarking with Quantlib.py. (See Issue [#2](#2))