Metadata-Version: 2.3
Name: frm
Version: 0.0.1
Summary: A python package for quantitative finance and derivative pricing
Project-URL: Homepage, https://github.com/frmcalcs/frm
Project-URL: Website, https://www.frmcalcs.com/app_frm/
Author-email: John Galt <frm.calcs@gmail.com>
License-File: LICENSE
Classifier: License :: OSI Approved :: Mozilla Public License 2.0 (MPL 2.0)
Classifier: Operating System :: OS Independent
Classifier: Programming Language :: Python :: 3
Requires-Python: >=3.10
Requires-Dist: datetime
Requires-Dist: holidays
Requires-Dist: matplotlib
Requires-Dist: numba
Requires-Dist: numpy
Requires-Dist: pandas
Requires-Dist: pandas-market-calendars
Requires-Dist: scipy
Description-Content-Type: text/markdown

# frm

A python package for quantitative finance and derivative pricing.
Emphasis on documentation, references and detailed examples.

This package will have a similar scope to Quantlib. The rational for this package is:
- QuantLib-Python is fiddly and due to SWIG it's hard to drill down into errors. 
- QuantLib C++ is in C++ which is unproductive for many use cases and is harder to read than native python (which is nearly pseudocode) 

## Complete

Interest rate swaps
- pricing
- schedule construction (including detailed stub logic) 
- iterative single currency bootstrapping
- fixed rate / spread par solvers

Vanilla European FX options
- pricing + greeks (under Garman-Kohlhagen)
- volatility surface construction (smile construction via Heston or splines)  


## Pipeline
- SABR volatility model
- European interest rate swaption pricing
- Heston-Local Volatility model (for pricing path dependent FX options)



At <a href="https://www.frmcalcs.com/app_frm/" target="_blank">frmcalcs.com/app_frm/</a>, some use cases are are hosted.




