https://github.com/juliaquant/financialderivatives.jl
Financial derivatives modeling and pricing in Julia.
https://github.com/juliaquant/financialderivatives.jl
derivatives finance julia
Last synced: about 1 month ago
JSON representation
Financial derivatives modeling and pricing in Julia.
- Host: GitHub
- URL: https://github.com/juliaquant/financialderivatives.jl
- Owner: JuliaQuant
- License: other
- Created: 2018-10-08T01:50:01.000Z (over 6 years ago)
- Default Branch: master
- Last Pushed: 2025-01-27T00:37:38.000Z (4 months ago)
- Last Synced: 2025-04-09T16:17:33.823Z (about 1 month ago)
- Topics: derivatives, finance, julia
- Language: Julia
- Homepage: https://juliaquant.github.io/FinancialDerivatives.jl/dev/
- Size: 199 KB
- Stars: 60
- Watchers: 5
- Forks: 13
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE.md
Awesome Lists containing this project
README
# FinancialDerivatives.jl
| **Documentation** |**Status** |**License** |
|:-----------------:|:----------------------------:|:-----------:|
| [![docs-dev][dev-img]][dev-url] | [![CI][ci-img]][ci-url] [![codecov][cov-img]][cov-url] | [![license][lic-img]][lic-url] |
---
## 💾 [Installing](https://julialang.github.io/Pkg.jl/v1/managing-packages/)
`FinancialDerivatives.jl` is a registered Julia package and [as such you can install it](https://julialang.github.io/Pkg.jl/v1/managing-packages/) by activating the `pkg` mode (type `]`, and to leave it, type ``),
followed by
```julia
pkg> add FinancialDerivatives
```
## 📓 Usage
To price an European option, simply create a new `EuropeanOption` and pass it to `evaluate` with the desired valuation model:
```julia
julia> using FinancialDerivatives
julia> euro_put = EuropeanOption(s=100.0, k=90.0, r=0.05, q=0.0, σ=0.3, t=180 / 365, call=false)
julia> evaluate(euro_put, BlackScholes())
3.2281936525908073
```
[dev-img]: https://img.shields.io/badge/docs-stable-blue.svg
[dev-url]: https://JuliaQuant.github.io/FinancialDerivatives.jl/dev/
[ci-img]: https://github.com/JuliaQuant/FinancialDerivatives.jl/actions/workflows/CI.yml/badge.svg?branch=master
[ci-url]: https://github.com/JuliaQuant/FinancialDerivatives.jl/actions/workflows/CI.yml?query=branch%3Amaster
[cov-img]: https://codecov.io/gh/JuliaQuant/FinancialDerivatives.jl/branch/master/graph/badge.svg
[cov-url]: https://codecov.io/gh/JuliaQuant/FinancialDerivatives.jl
[lic-img]: https://img.shields.io/github/license/mashape/apistatus.svg?maxAge=2592000
[lic-url]: https://github.com/mvanzulli/FinancialDerivatives.jl/blob/master/LICENSE