fintoolsom

Finantial calculations related library, specialized in Chilean market, meant for personal use.

Fully implemented in Python.

Contents:

• Fixed Income:

  • Bonds (get_irr, get_pv, get_dv01, ...)
  • Chilean Bonds (get_amount, get_tera, ...)
  • Chilean Deposits

• Rates:

  • Rate object: interest calculation, rate convention convertions
  • Zero Coupon Curve object

• Dates:

  • Add standard tenors (1D, 1M, 1W, 2Y, ...)
  • Day Count conventions (Actual, Days30, Days30E, Days30U, Days30ISDA, etc...)
  • Generic Holidays: MonthDayRule (4th of july), OrdinalWeekWeekdayRule (Third monday of february), easter and others...
  • Date Adjustment methods (Following, Modified Following, Preceding, Modified Preceding)
  • Calendars
    • NY and Chilean Calendar pre-built

• Derivatives:

  • FX Forwards
  • Options
    • MtM and greeks
    • Volatility Surface interpolation models (DoubleLinear, DoubleCubicSpline, eSSVI)

Install instructions:

pip install git+https://github.com/oliverm91/fintoolsom.git --upgrade

pip install fintoolsom NOT UPDATED

Requirements:

• Python: >=3.11
• Packages: numpy scipy multimethod