domokane/FinancePy issues and pull requests

#218 - Bond valuation using a yield curve

Issue - State: open - Opened by quant108 2 months ago - 2 comments

#217 - Getting an error when running the Key Rate Duration method:

Issue - State: closed - Opened by priyanf 3 months ago - 1 comment

#216 - Bond() does not have a "face amount" input

Issue - State: closed - Opened by priyanf 3 months ago - 1 comment

#215 - feat: `mkdocs` support

Pull Request - State: closed - Opened by avhz 4 months ago - 2 comments

#214 - Many changes and additions to interest rate curves and related topics

Pull Request - State: closed - Opened by piterbarg 4 months ago

#213 - How to deal with same maturity bonds for bootstrap curve?

Issue - State: closed - Opened by jingmouren 5 months ago - 2 comments

#211 - Name 'swap_types' is not defined

Issue - State: closed - Opened by gaoming714 7 months ago - 3 comments

#207 - typo in "acccrued"

Issue - State: closed - Opened by EduardoBautistaDev 10 months ago

#206 - plotted the code for Multiple Assets One Time and Multiple Assets and time

Pull Request - State: closed - Opened by Akshat111111 12 months ago - 5 comments

#205 - 'bond.print_payments' error

Issue - State: closed - Opened by JasonG78 12 months ago - 2 comments

#204 - Backtesting of Strategy

Issue - State: closed - Opened by Akshat111111 about 1 year ago - 4 comments

#203 - Updated FINGBMPROCESS_generatePaths

Issue - State: open - Opened by Akshat111111 about 1 year ago - 4 comments

#202 - Build SOFR curve - suggestions

Issue - State: open - Opened by thanhuwe8 about 1 year ago

#200 - choose to apply a Black'76 in Fx Vanilla option

Issue - State: open - Opened by CNiemans about 1 year ago - 1 comment

#199 - barrierOpt.value issue

Issue - State: open - Opened by iourdev about 1 year ago - 2 comments

#196 - Bond OAS and accrued interest

Issue - State: closed - Opened by gulls-on-parade over 1 year ago - 2 comments

#195 - Division with wrong day count convention causes incorrect forward rates

Issue - State: closed - Opened by Nollad over 1 year ago - 1 comment

#194 - Adding fx double digital option

Pull Request - State: closed - Opened by jtamas18 over 1 year ago - 1 comment

#193 - CDSOption insensitive to vol for Receiver

Issue - State: closed - Opened by HZS2 over 1 year ago - 4 comments

#192 - Fix swap leg

Pull Request - State: closed - Opened by nashquant over 1 year ago - 1 comment

#191 - Inconsistency in Day Count in Index Curve?

Issue - State: open - Opened by YimingZhang07 over 1 year ago - 3 comments

#190 - Bond Curve Fitting

Issue - State: closed - Opened by gulls-on-parade over 1 year ago - 1 comment

#189 - Bump scipy from 1.7.3 to 1.10.0

Pull Request - State: closed - Opened by dependabot[bot] over 1 year ago - 1 comment
Labels: dependencies

#188 - Major implementation change for ibor_swap? A notebook example doesn't tie out anymore.

Issue - State: closed - Opened by YimingZhang07 over 1 year ago - 12 comments

#187 - Potential issues for CDS pricing

Issue - State: open - Opened by YimingZhang07 over 1 year ago - 4 comments

#186 - Example of SOFR curve

Issue - State: open - Opened by suhasghorp over 1 year ago

#185 - Date Schedule._generate issue

Issue - State: closed - Opened by gbarbe77 over 1 year ago - 2 comments

#184 - Changed 'Date' type to float type in parameters of barrier option pricing functions.

Pull Request - State: closed - Opened by gpelleri over 1 year ago - 3 comments

#183 - Update TestFinFXVanillaOption.py

Pull Request - State: closed - Opened by Mattyuan98 over 1 year ago - 1 comment

#182 - Created independent key_rate_durations function

Pull Request - State: closed - Opened by sagayev over 1 year ago - 4 comments

#181 - Re-generate manual when master is updated

Issue - State: closed - Opened by FergalOK over 1 year ago - 5 comments

#180 - LSMC model update

Pull Request - State: closed - Opened by idorrington92 over 1 year ago - 2 comments

#179 - Created test cases for bond.key_rate_duration method

Pull Request - State: closed - Opened by sagayev over 1 year ago - 11 comments

#178 - argument type issue - FXVanillaOption with SABR model

Issue - State: closed - Opened by Mattyuan98 over 1 year ago - 3 comments

#177 - Some swap suggestions

Issue - State: open - Opened by vlade21 over 1 year ago

#176 - added key rate durations method to bond class

Pull Request - State: closed - Opened by sagayev over 1 year ago - 2 comments

#175 - Alternative Interpolation Schemes for Longstaff Schwarz

Issue - State: closed - Opened by domokane over 1 year ago - 1 comment

#174 - PSOR model rewrite

Pull Request - State: closed - Opened by idorrington92 over 1 year ago - 1 comment

#173 - Finite difference improvements

Pull Request - State: closed - Opened by idorrington92 over 1 year ago

#172 - Equity swap

Pull Request - State: closed - Opened by nashquant over 1 year ago

#171 - Use numba for band matrix multiplication

Pull Request - State: closed - Opened by idorrington92 over 1 year ago - 1 comment

#170 - Projected successive over relaxation (PSOR) model

Pull Request - State: closed - Opened by idorrington92 over 1 year ago

#169 - Add Equity index option type

Pull Request - State: closed - Opened by shunmaruko over 1 year ago - 1 comment

#168 - Wire finite difference model into EquityAmericanOption

Pull Request - State: closed - Opened by idorrington92 over 1 year ago - 7 comments

#167 - Finite difference method

Pull Request - State: closed - Opened by idorrington92 over 1 year ago - 3 comments

#166 - Equity swap

Pull Request - State: closed - Opened by nashquant over 1 year ago - 9 comments

#165 - move barrier option valuation functions to model

Pull Request - State: closed - Opened by gpelleri over 1 year ago - 4 comments

#164 - Changed figures of notebook #9

Pull Request - State: closed - Opened by shunmaruko over 1 year ago - 2 comments

#163 - Add notebook for Bjerksund-Stensland method #9

Pull Request - State: closed - Opened by shunmaruko almost 2 years ago - 1 comment

#162 - Modified assertions for test_FinBondFutures.py

Pull Request - State: closed - Opened by DominicHong almost 2 years ago - 1 comment

#161 - Refactor barrier option code to extract core model code from products into model folder.

Issue - State: closed - Opened by domokane almost 2 years ago - 11 comments
Labels: good first issue

#160 - Add Bjerksund Stensland forumla

Pull Request - State: closed - Opened by shunmaruko almost 2 years ago - 3 comments

#159 - Add Equity Swap Product

Issue - State: closed - Opened by nashquant almost 2 years ago - 3 comments

#158 - Added Bond class attributes bus_day_rule_type and date_gen_rule_type

Pull Request - State: closed - Opened by sagayev almost 2 years ago

#157 - Cash flows on coupon payment days

Pull Request - State: closed - Opened by DominicHong almost 2 years ago - 6 comments

#156 - Bump ipython from 7.34.0 to 8.10.0

Pull Request - State: closed - Opened by dependabot[bot] almost 2 years ago
Labels: dependencies

#155 - Accrued interest on coupon payment day

Issue - State: closed - Opened by DominicHong almost 2 years ago - 2 comments

#154 - Update bond.py to allow to define the BusDayAdjustTypes and DateGenRu…

Pull Request - State: closed - Opened by sagayev almost 2 years ago - 1 comment

#153 - Vectorise calculations

Pull Request - State: closed - Opened by idorrington92 almost 2 years ago - 1 comment

#152 - Remove inconsistency between df methods in DiscountCurveNS and DiscountCurveNSS

Pull Request - State: closed - Opened by sagayev almost 2 years ago

#151 - Update init.py

Pull Request - State: closed - Opened by sagayev almost 2 years ago - 4 comments

#150 - Added support for CFETS ytm convention

Pull Request - State: closed - Opened by DominicHong almost 2 years ago

#149 - "bond.full_price_from_ytm" is always computed by "face=100" right?

Issue - State: closed - Opened by lan-slot almost 2 years ago - 2 comments

#148 - Allow create Date from datetime.date

Pull Request - State: closed - Opened by PaleNeutron about 2 years ago - 3 comments

#147 - Calculate Bond Rate of Return

Pull Request - State: closed - Opened by DominicHong about 2 years ago - 3 comments

#146 - Calculate the accrued interest of the Zero Coupon Bond

Pull Request - State: closed - Opened by DominicHong about 2 years ago - 7 comments

#145 - Change Zero Bond date convention to the same as ACT_ACT_ISDA

Pull Request - State: closed - Opened by DominicHong about 2 years ago

#144 - Issue of Bond payment dates

Issue - State: closed - Opened by DominicHong about 2 years ago - 2 comments

#143 - CDSCurve class does not depend on recovery rate

Issue - State: closed - Opened by alexlittle-dev about 2 years ago - 2 comments

#142 - allow negative tenors in Date.add_tenor() method

Pull Request - State: closed - Opened by piterbarg about 2 years ago - 1 comment

#141 - refactor(volatility): readability improvements

Pull Request - State: closed - Opened by ryanrussell over 2 years ago

#140 - Support for Zero-Coupon Bond

Issue - State: closed - Opened by DominicHong over 2 years ago - 4 comments

#139 - how do i trade like cem karsan

Issue - State: closed - Opened by inconspicuous99 over 2 years ago

#138 - Bump numpy from 1.21.6 to 1.22.0

Pull Request - State: closed - Opened by dependabot[bot] over 2 years ago - 1 comment
Labels: dependencies

#137 - Fix __powidf2 error

Pull Request - State: closed - Opened by FergalOK over 2 years ago

#136 - (fx_vol_surface_plus) issue with strike interpolation

Issue - State: closed - Opened by leogeogh over 2 years ago - 2 comments