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FinancePy

domokane / FinancePy

Star 776
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discount curve from fx forwards / cross currency basis swaps

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ahabre
ahabre commented Aug 8, 2021

Is there a way to calibrate a discount curve from traded fx forwards?

Taking USDJPY as an example. As an input I have the fx spot, 1M, 3M and 6M forwards , I have also built a USD OIS discount curve. I want to create a JPY discount curve such that I can reprice correctly all of the fx forwards I observe in the market. Is that possible with the current library?

As an extension to the above,

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enhancement good first issue Finance Quant Python Task
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securityfirst / Umbrella_android

Star 192

Open source Android, iOS and Web app for learning about and managing digital and physical security. From how to send a secure message to dealing with a kidnap. Umbrella has best practice guides in over 40 topics in multiple languages. Used daily by people working in high risk countries - journalists, activists, diplomats, business travelers etc.

security opensource crypto encryption risk hacking travel journalism activism advice umbrella infosec protest lessons human-rights-defenders snowden
  • Updated Dec 3, 2021
  • Kotlin

MBKraus / Python_Portfolio__VaR_Tool

Star 76

Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other (ex-post) risk/return characteristics both on an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)

python portfolio benchmark risk heatmap beta stock monte-carlo-simulation sharpe-ratio wxpython investment return yahoo-finance value-at-risk risk-management sp500-real-time-data variance-covariance historical-simulation geometric-brownian-motion stock-widget
  • Updated Feb 17, 2021
  • Python
vPrioritizer

varchashva / vPrioritizer

Star 57

vPrioritizer enables us to understand the contextualized risk (vPRisk) on asset-vulnerability relationship level across the organization, for teams to make more informed decision about what (vulnerability/ties) they should remediate (or can afford not to) and on which (asset/s)

python risk django-application information-security vulnerability-management risk-management prioritization security-analytics community-analytics prioritization-algorithm
  • Updated Oct 26, 2021
  • CSS

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