AAD enabled and scripting included derivatives modeling.
☆27Oct 28, 2026Updated this week
Alternatives and similar repositories for Derivatives-Algorithms-Lib
Users that are interested in Derivatives-Algorithms-Lib are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆45May 22, 2024Updated 2 years ago
- A derivatives pricing library with AD sensitivities and calibration☆12Jun 28, 2026Updated 4 months ago
- Companion code for "Modern Computational Finance, volume 2: Scripting for Derivatives and XVA" (Antoine Savine & Jesper Andreasen, Wiley,…☆26Oct 11, 2020Updated 6 years ago
- High performance hybrid Monte Carlo simulation☆10Sep 21, 2026Updated last month
- ☆19Sep 30, 2021Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Aug 6, 2017Updated 9 years ago
- Basic package for fitting yield-curves and other things.☆21Dec 18, 2020Updated 5 years ago
- A quantitative tool that selects stocks through a large model semantic filtering and completes A-share strategy backtesting and strategy …☆13Aug 19, 2024Updated 2 years ago
- ☆13Mar 17, 2025Updated last year
- A fully functional and comprehensive Monte Carlo Value at Risk engine for calculating the risk of a financial portfolio. Written from scr…☆12Aug 12, 2020Updated 6 years ago
- header only essentials of QuantLib☆26Nov 4, 2017Updated 8 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆369May 20, 2026Updated 5 months ago
- Derivatives pricing in modern C++.☆18Apr 15, 2026Updated 6 months ago
- QARandomPrice_TickPrice_by_OU process☆11May 18, 2020Updated 6 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Some experimental codes that intend to extend QuantLib.☆10Dec 18, 2021Updated 4 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆202Sep 10, 2021Updated 5 years ago
- A library for portfolio optimization algorithms with python interface.☆31Jan 9, 2021Updated 5 years ago
- Based on the concepts in "CIMTR" and others, swing trading☆10Feb 23, 2025Updated last year
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆69Mar 10, 2023Updated 3 years ago
- Financial Derivatives Calculator with 171+ Models (Options Calculator)☆251Feb 27, 2025Updated last year
- In-process Python for use within Excel☆20Oct 6, 2014Updated 12 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆146Oct 5, 2022Updated 4 years ago
- Graphical wrapper over LSEG's Open Source Risk Engine (ORE).☆30Updated this week
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Reimplementing QuantLib examples by Python☆72Sep 23, 2022Updated 4 years ago
- FTShare financial data Python SDK｜通过 Python 和 pandas 接入基础金融数据与 FTShare 特色因子。☆113Oct 19, 2026Updated last week
- QuantLib with AAD☆43Oct 24, 2026Updated last week
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- AqumenLib is AQumen's financial analytics SDK for pricing and risk.☆20Mar 23, 2025Updated last year
- Java Parser Development Framework from Steven Metsker's "Building Parsers With Java book"☆11Nov 27, 2014Updated 11 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆118Mar 10, 2025Updated last year
- Agent-native shopping for extreme value: verifiable same-product price evidence, checkout, orders, delivery, and after-sales.☆203Sep 17, 2026Updated last month
- A social media software to put in practice CQRS, event-source, Kafka, MongoDB and SQL Server.☆10Feb 8, 2024Updated 2 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- A zero-dependency, drop-in visual feedback layer for any web page.☆15Jul 9, 2026Updated 3 months ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆15Dec 2, 2023Updated 2 years ago
- Yet another HFT framework☆52Apr 10, 2026Updated 6 months ago
- Open Source Risk Engine☆811Sep 15, 2026Updated last month
- An open-source checkout for Magento and Adobe Commerce, built for speed, flexibility, and seamless transactions - without the friction.☆11Oct 23, 2026Updated last week
- Multi-factor quantitative research and paper-trading system for Chinese A-shares. The backtest and the simulated trader run through one s…☆16Oct 5, 2026Updated 3 weeks ago
- Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics☆144Mar 1, 2026Updated 8 months ago