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FinancePy

domokane / FinancePy

Open

discount curve from fx forwards / cross currency basis swaps

1
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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tern-tools / tern

letianzj / QuantResearch

Quantitative analysis, strategies and backtests

data-science machine-learning reinforcement-learning deep-learning algotrading trading-strategies trading-algorithms quantitative-finance financial-analysis algorithmic-trading backtesting-trading-strategies asset-allocation quantitative-trading pairs-trading risk-management asset-management statistical-arbitrage portfolio-management derivatives-pricing backtests
  • Updated Dec 2, 2021
  • Jupyter Notebook
ElectricEye

jonrau1 / ElectricEye

Continuously monitor your AWS services for configurations that can lead to degradation of confidentiality, integrity or availability. All results will be sent to Security Hub for further aggregation and analysis.

aws security-audit automation monitoring terraform audit security-hardening aws-security risk-management monitoring-tool security-tools soar security-engineering cloud-security cloud-auditing security-monitoring well-architected cloud-compliance-reporting security-hub continuous-compliance
  • Updated Dec 3, 2021
  • Python

center-for-threat-informed-defense / attack-control-framework-mappings

Security control framework mappings to MITRE ATT&CK provide a critically important resource for organizations to assess their security control coverage against real-world threats and provide a bridge for integrating ATT&CK-based threat information into the risk management process.

cybersecurity cti risk-management nist800-53 ctid mitre-attack cyber-threat-intelligence security-controls threat-informed-defense
  • Updated Sep 14, 2021
  • Python

MBKraus / Python_Portfolio__VaR_Tool

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
notebooks

differential-machine-learning / notebooks

Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

machine-learning deep-learning tensorflow automatic-differentiation pricing derivatives quantitative-finance notebooks regression-models backpropagation risk-management computational-finance aad risk-magazine
  • Updated Nov 26, 2021
  • Jupyter Notebook
vPrioritizer

varchashva / vPrioritizer

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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