I missed this package while searching for a quantlib-like package yesterday. I just took a quick look, I saw various models like the Swensson, Nelson-Siegel and spline interpolation, but I haven't got to the point of how various country's calendars are taken into account, or handling the trade date - settlement date and next settlement date problems, etc. I'll take another look later. Thanks.
On Friday, September 11, 2015 at 6:40:38 AM UTC-4, Ken B wrote: > > In case you haven't seen it yet, there's also the InterestRates.jl > <https://github.com/felipenoris/InterestRates.jl> package. > > On Friday, 11 September 2015 08:13:30 UTC+2, Avik Sengupta wrote: >> >> My hope has been that Ito would become the consolidated financial math >> package, with functionality similar to Quantlib. Unfortunately, while I >> laid down the base, I haven't made as much progress as I would have liked >> (primarily for lack of time), but I do hope to rectify that in the near >> future. Needless to say, contributions welcome. >> >> >> On Friday, 11 September 2015 07:05:39 UTC+1, Ferenc Szalma wrote: >>> >>> Are there any quant finance packages for Julia? I see some rudimentary >>> calendar and day-counting in Ito.js for example but not much for even a >>> simple yield2price or price2yield or any bond objects in Julia packages on >>> GitHub. What is the best approach, using C++ function/object from Quantlib, >>> to finance in Julia? >>> >>
