derivatives
There are 39 repositories under derivatives topic.
goldmansachs / gs-quant
Python toolkit for quantitative finance
Language:Jupyter Notebook 6828- FinancePy
domokane / FinancePy
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
Language:Jupyter Notebook 2013 casadi / casadi
CasADi is a symbolic framework for numeric optimization implementing automatic differentiation in forward and reverse modes on sparse matrix-valued computational graphs. It supports self-contained C-code generation and interfaces state-of-the-art codes such as SUNDIALS, IPOPT etc. It can be used from C++, Python or Matlab/Octave.
Language:C++ 1631- Language:C++ 1581
- synthetixLanguage:JavaScript 1197
- Language:Java 831
0xperp / defi-derivatives
A hopefully comprehensive guide to the defi derivative landscape
- Language:Python 633
s-brez / trading-server
Multi-asset, multi-strategy, event-driven trading platform for running low to medium freq strategies at many venues simultaneously with portfolio-based risk management and %-per-strategy capital allocation. Supports event-driven backtesting across all desired instruments, venues and strategies under a single parameterized portfolio.
Language:Python 618- Language:Python 474
fremantle-industries / tai
A composable, real time, market data and trade execution toolkit. Built with Elixir, runs on the Erlang virtual machine
Language:Elixir 452VarunS2002 / Python-NSE-Option-Chain-Analyzer
The NSE has a website which displays the option chain in near real-time. This program retrieves this data from the NSE site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain and visually displays the trend in various indicators useful for Technical Analysis.
Language:Python 395boyac / pyOptionPricing
Option pricing based on Black-Scholes processes, Monte-Carlo simulations with Geometric Brownian Motion, historical volatility, implied volatility, Greeks hedging
Language:Python 278spacious-team / investbook
Оценка эффективности инвестиций с учетом комиссий, налогов (удержанных и ожидающихся), дивидендов и купонов.
Language:Java 249JuliaDiff / FiniteDiff.jl
Fast non-allocating calculations of gradients, Jacobians, and Hessians with sparsity support
Language:Julia 241- xad
auto-differentiation / xad
Comprehensive automatic differentiation in C++
Language:C++ 226 sambacha / compendium
The Greatest Collection of anything related to finance and crypto
Language:Jupyter Notebook 193AnthonyBradford / optionmatrix
Financial Derivatives Calculator with 168+ Models (Options Calculator)
Language:C++ 190jkirkby3 / PROJ_Option_Pricing_Matlab
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Language:MATLAB 162lambdaclass / options_backtester
Simple backtesting software for options
Language:Jupyter Notebook 149- Language:Python 138
- notebooks
differential-machine-learning / notebooks
Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.
Language:Jupyter Notebook 135 yzoz / python-option-calculator
Vanilla option pricing and visualisation using Black-Scholes model in pure Python
Language:Python 119gabrielepompa88 / pyBlackScholesAnalytics
Options and Option Strategies analytics for educational purpose using the Black-Scholes Model
Language:Jupyter Notebook 107- rateslib
attack68 / rateslib
A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.
Language:Python 106 tpmmthomas / binance-copy-trade-bot
A telegram copy trading bot that follows cryptocurrency derivatives trade on the binance leaderboard.
Language:Python 103- DL4S
palle-k / DL4S
Accelerated tensor operations and dynamic neural networks based on reverse mode automatic differentiation for every device that can run Swift - from watchOS to Linux
Language:Swift 102 JamesYang007 / FastAD
FastAD is a C++ implementation of automatic differentiation both forward and reverse mode.
Language:C++ 94TechfaneTechnologies / QtsApp
The Python Library For QtsApp which displays the option chain in near real-time. This program retrieves this data from the QtsApp site and then generates useful analysis of the Option Chain for the specified Index or Stock. It also continuously refreshes the Option Chain along with Implied Volatatlity (IV), Open Interest (OI), Delta, Theta, Vega, Gamma, Vanna, Charm, Speed, Zomma, Color, Volga, Veta at an interval of a second and visually displays the trend in various indicators useful for Technical Analysis.
Language:Python 94muhasturk / ukupgrade
Upgrade latest kernel automatically for Ubuntu and derivatives such as Linux Mint. :runner:
Language:Shell 90MARKETProtocol / MARKETProtocol
Ethereum based derivatives trading protocol creating digital tokens for any asset
Language:JavaScript 83- Language:Python 83
crypto-chassis / cryptochassis-data-api-docs
A REST API providing snapshot, tick, and aggregated market data for crypto-currencies
harsh-vardhhan / Option-Trading-Backend
Option trading platform on NSE (India) for Upstox
Language:Python 54JuliaQuant / FinancialDerivatives.jl
Financial derivatives modeling and pricing in Julia.
Language:Julia 54- CausingLanguage:Python 54
