I think the Ito package is a great start, and I've forked it to work on adding to it other features of Quantlib (as best as I can!). I'm glad someone mentioned the InterestRates package too as I hadn't seen that. I work at major bank in risk, and my goal is to at some point sell them on the power of Julia (we are currently a Python/C++ shop).
- Chris On Friday, September 11, 2015 at 2:05:39 AM UTC-4, 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? >
