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casadi / casadi

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CasADi is a symbolic framework for numeric optimization implementing automatic differentiation in forward and reverse modes on sparse matrix-valued computational graphs. It supports self-contained C-code generation and interfaces state-of-the-art codes such as SUNDIALS, IPOPT etc. It can be used from C++, Python or Matlab/Octave.

python c-plus-plus library modular optimization matlab mathematics nonlinear octave numerical-calculations scientific-computing derivatives code-generation parameter-estimation academic-project optimal-control symbolic-manipulation algorithmic-differentation nonlinear-programming
  • Updated Dec 5, 2020
  • C++
synthetix

Synthetixio / synthetix

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domokane / FinancePy

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Vectorisation of Calculations

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domokane
domokane commented Nov 15, 2020

Some functions take a date as an input. However I would like to be able to pass in a vector/list of dates and/or a vector of enums and get a corresponding vector of values.

This is shown in notebook

https://github.com/domokane/FinancePy/blob/master/notebooks/products/equity/EQUITY_VANILLA_EUROPEAN_STYLE_OPTION_VECTORISATION.ipynb

Consider f(x,y,z). Behaviour that would be good

  1. If x
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Python Task enhancement good first issue
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s-brez / trading-server

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Multi-asset, multi-strategy, event-driven trade execution and management platform for automated buy-side trading of common markets, using MongoDB for storage and Telegram for user notifications/trade consent.

mongodb telegram trading trading-bot algo-trading forex cryptocurrency derivatives trading-platform technical-analysis futures algorithmic-trading backtest quantitative-trading bitmex backtesting binance portfolio-management trading-execution ftx
  • Updated Oct 23, 2020
  • Python

spacious-team / investbook

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Опциональное отключение бекапа отчетов брокера

vananiev
vananiev commented Oct 25, 2020

На текущий момент успешно загруженные отчеты брокера сохраняются в домашней директории пользователя в папке investbook/report-backups. Позволять отключать бекап настройкой

investbook.report-backup: off
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good first issue improvement minor

jkirkby3 / PROJ_Option_Pricing_Matlab

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Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

options monte-carlo derivatives option-pricing quantitative-finance american-options jump-diffusion stochastic-volatility-models black-scholes fourier-transform sabr european-options levy-processes heston-model asian-option bermudan-option swing-option lookback-option variance-swap barrier-option
  • Updated Dec 6, 2020
  • MATLAB

navjindervirdee / neural-networks

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Implemented Convolutional Neural Network, LSTM Neural Network, and Neural Network From Scratch in Python Language.

python deep-learning numpy jupyter-notebook cnn neural-networks convolutional-layers rnn derivatives scratch matplotlib convolutional-neural-networks handwritten-digit-recognition lstm-neural-networks iris-dataset lstm-cells lstm-networks backward-propagation forward-propagation backward-propagation-through-time
  • Updated Sep 19, 2018
  • Jupyter Notebook
notebooks

differential-machine-learning / notebooks

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Implement, demonstrate, reproduce and extend the results of the article 'Differential Machine Learning' (Huge & Savine, 2020), and cover implementation details left out of the working paper

machine-learning deep-learning tensorflow automatic-differentiation pricing derivatives quantitative-finance notebooks regression-models backpropagation risk-management computational-finance aad risk-magazine
  • Updated Jun 14, 2020
  • Jupyter Notebook

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