FinancialMarkets.jl will help you describe and model financial market objects in Julia.
For example:
# Load packages
using Dates, FinancialMarkets
# Create US Dollar object
USD = USD()
# Create 3m USD LIBOR
depo = Deposit(USD, Month(3), 0.05)
# Price depo at trade date
price(depo)Objects such as:
- Compounding constants, interest rates, discount factors
- Financial market calendars, day counters and roll conventions
- Currencies
- Stub types
- Schedules
- Cash flows
- Interest rate indices
- Instruments
Modelling such as:
- Year fraction calculations
- Conversion between interest rates and discount factors and between different interest rates
- Identifying good (and bad) days
- Adjusting and shifting dates
- Creating swap date schedules
- Pricing instruments
Install FinancialMarkets.jl by running:
Pkg.add("FinancialMarkets")
