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Quantitative Finance Library for Java by Idylwood Technologies

Sat, 18 May 2013 10:31:28 -0400

idylfin=======Quantitative Finance Library for Java by Idylwood TechnologiesFeatures:Pure 100% Java implementationNumerics library which is faster and more accurate than other Java numerical librariesThread safe designLightweightAPI to Yahoo FinanceSharpe Ratio and other financial statisticsSplit and dividend adjustmentDependencies:IdylFin currently depends on Apache Commons Math, Jsoup and GRAL, forks of which are included in this source tree. In future versions the dependencies may be removed

ActiveQuant

Sat, 09 Feb 2013 14:58:02 -0500

Typical use cases for this project include recording large volume timeseries, managing financial reference data and other information. You can also backtest and run trading systems in production. You might also want to plug in applications written in other languages through a SOAP Service Facade or Matlab to access that data. It is also possible simulate trading, high frequency and low frequency and to move seamlessly from simulation to production through one of the trading venue interface imple

Code Financial Modelling

Thu, 25 Oct 2012 21:46:59 -0400

This is the code for the book "Financial Modelling, Theory, Implementation and Practice (with Matlab Source)" by Kienitz and Wetterau.This book shows how to cope with the usage and the implementation of models for derivatives pricing, asset allocation and hedging.We cover Non-Gaussian (StochVol, Levy, StochVolLevy, LV) using state-of-the art Transformation methods, Monte Carlo and we give calibration algos.The corresponding book can be found here:http://www.amazon.co.uk/Financial-Modelling-Imple

Public Sector Credit Framework - Open Source

Sun, 06 May 2012 19:01:40 -0400

Open source tool for analyzing and rating sovereign and sub-sovereign issuers using a multi-year budget simulation. If you like this idea, please contribute to the open source project.

Mersenne Twister VBA Class

Sun, 06 May 2012 19:01:30 -0400

Class: WEB_REG_MT19937A Pseudo Random Number Generation Class using the Mersenne twister pseudo random number generator.random number (member functions):unifrnd Generates random numbers from a continous uniform distribution normrnd Generates random numbers from a normal distribution lognrnd Generates random numbers from a log-normal distribution exprnd Generates random numbers from an exponential distribution gamrnd Generates random numbers from a gamma distribution betarnd Generates random numb

Bootstrapping TSY Yield Curve

Mon, 19 Sep 2011 17:25:02 -0400

1. Bootstraps TSY yield curve2. Calculates discount factors3. Calculates forward curve using natural spline4. Writes the forward curve to a CSV fileAny comments would be appreciated.

Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX

Mon, 15 Aug 2011 07:23:28 -0400

AlgoTrader is an automated trading system (ATS) that can trade any type of security through InteractiveBrokers or a FIX Broker. All aspects of trading like getting market data, analyzing prices, taking trade decisions, placing orders & tracking executions can be automated. The system is based on Java SE 6.0, Spring, Esper and a Model Driven Architecture.AlgoTrader is available Open Source through http://code.google.com/p/algo-trader/Features of the system:- Automate Trading Strategies based on T

US Recession prediction

Mon, 04 Apr 2011 18:34:08 -0400

A tool to predict US recession. The program is written in VBA and downloads the data from FRED. The tool estimates a probit model as discussed in a paper from Wright: url=http://www.federalreserve.gov/pubs/feds/2006/200607/200607pap.pdf http://www.federalreserve.gov/pubs/feds/2006/200607/200607pap.pdf /url

Binomial option pricing formula

Thu, 17 Mar 2011 10:04:56 -0400

%Example: Note requires the financial toolbox function blspriceS=50; K=50; sigma=0.4; r=0.1; T=1; steps=200;a= ; b= ;counter=0;for k=5:5:stepscounter=counter+1;a(counter)=TreeMy(S,K,sigma,r,T,k);b(counter)=blsprice(S,K,r,T,sigma);endk=5:5:steps;plot(k,a,'b');hold onplot (k,b,':r');hold offtitle('Option price as a function of the number of steps');ylabel('Option price');xlabel('Number of steps, n');

European knock out call option with a barrier Sb

Thu, 17 Mar 2011 09:57:37 -0400

Consider a European knock out call option with a barrier Sb. This is an option that seizesto exist when the price of the underlying asset hits a predetermined barrier during the entirelife of the contract. The function KOCallTreeMy returns the value of a knock-out Europeancall option using a binomial lattice:Example:KOCallTreeMy(50,55,0.2,0.1,1,200,60)ans =0.0883