EcoFin is a Python library developed for financial quantitative analysts and developers. The final goal is to provide a library that covers most of the topics related to quantitative finance:
- Financial mathematics tools
- Stochastical processes tools
- Montecarlo simulations
- Financial statistical tools
- Option pricing using binomial tree models
- Black, Scholes and Merton model
- Option greeks analysis
- Volatility smile/surface computation
- Equity VIX computation (classical and CBOE method)
- Markowitz asset allocation model
- Black and Litterman asset allocation model
- Implied Volatility Spread (IVS) analysis
- Option Price Spread (OPS) analysis
The strength of this project is to enclose in a single library all the quantitative finance functions from data download to data analysis, in order to realize complete investment strategies.
To start using this library, take a look at the Examples folder.
To install the library package, type in your terminal
pip install EcoFin
Created by Luca Camerani, University of Milano-Bicocca and released under the "BSD Open Source License".