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‎.codecov.yml

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comment: false

‎.travis.yml

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language: julia
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os:
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- linux
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- osx
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julia:
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- 1.0
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notifications:
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email: false
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git:
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depth: 99999999
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matrix:
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allow_failures:
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- julia: nightly
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after_success:
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- julia -e 'cd(Pkg.dir("FinancialDerivatives")); Pkg.add("Coverage"); using Coverage; Coveralls.submit(Coveralls.process_folder())'
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- julia -e 'cd(Pkg.dir("FinancialDerivatives")); Pkg.add("Coverage"); using Coverage; Codecov.submit(Codecov.process_folder())'

‎LICENSE.md

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The FinancialDerivatives.jl package is licensed under the MIT "Expat" License:
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> Copyright (c) 2018: Alexandre Brilhante.
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>
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> Permission is hereby granted, free of charge, to any person obtaining a copy
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> of this software and associated documentation files (the "Software"), to deal
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> in the Software without restriction, including without limitation the rights
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> to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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> copies of the Software, and to permit persons to whom the Software is
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> furnished to do so, subject to the following conditions:
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>
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> The above copyright notice and this permission notice shall be included in all
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> copies or substantial portions of the Software.
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>
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> THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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> IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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> FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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> AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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> LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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> OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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> SOFTWARE.
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>

‎Manifest.toml

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[[Arpack]]
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deps = ["BinaryProvider", "Libdl", "LinearAlgebra", "Random", "SparseArrays", "Test"]
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deps = ["Compat", "Libdl", "SHA", "URIParser"]
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git-tree-sha1 = "12093ca6cdd0ee547c39b1870e0c9c3f154d9ca9"
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[[Compat]]
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deps = ["Base64", "Dates", "DelimitedFiles", "Distributed", "InteractiveUtils", "LibGit2", "Libdl", "LinearAlgebra", "Markdown", "Mmap", "Pkg", "Printf", "REPL", "Random", "Serialization", "SharedArrays", "Sockets", "SparseArrays", "Statistics", "Test", "UUIDs", "Unicode"]
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version = "0.16.4"
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[[InteractiveUtils]]
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deps = ["LinearAlgebra", "Markdown"]
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[[LibGit2]]
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uuid = "90014a1f-27ba-587c-ab20-58faa44d9150"
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version = "0.9.5"
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deps = ["Dates", "LibGit2", "Markdown", "Printf", "REPL", "Random", "SHA", "UUIDs"]
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uuid = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
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[[Printf]]
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deps = ["Unicode"]
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[[QuadGK]]
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deps = ["DataStructures", "LinearAlgebra", "Test"]
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git-tree-sha1 = "7e8dff9c205f36eceaf6e62a43ff851637ca45fc"
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version = "2.0.2"
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deps = ["InteractiveUtils", "Markdown", "Sockets"]
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uuid = "3fa0cd96-eef1-5676-8a61-b3b8758bbffb"
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[[Random]]
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deps = ["Serialization"]
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uuid = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
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[[Rmath]]
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deps = ["BinaryProvider", "Libdl", "Pkg", "Random", "Statistics", "Test"]
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git-tree-sha1 = "9a6c758cdf73036c3239b0afbea790def1dabff9"
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version = "0.5.0"
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[[SHA]]
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[[Sockets]]
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[[SparseArrays]]
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deps = ["LinearAlgebra", "Random"]
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uuid = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
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[[SpecialFunctions]]
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deps = ["BinDeps", "BinaryProvider", "Libdl", "Test"]
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version = "0.7.1"
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[[Statistics]]
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deps = ["LinearAlgebra", "SparseArrays"]
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uuid = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
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[[StatsBase]]
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deps = ["DataStructures", "LinearAlgebra", "Missings", "Printf", "Random", "SortingAlgorithms", "SparseArrays", "Statistics", "Test"]
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git-tree-sha1 = "723193a13e8078cec6dcd0b8fe245c8bfd81690e"
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[[StatsFuns]]
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deps = ["Pkg", "Rmath", "SpecialFunctions", "Test"]
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version = "0.7.0"
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[[SuiteSparse]]
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deps = ["Libdl", "LinearAlgebra", "SparseArrays"]
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uuid = "4607b0f0-06f3-5cda-b6b1-a6196a1729e9"
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[[Test]]
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deps = ["Distributed", "InteractiveUtils", "Logging", "Random"]
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uuid = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
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[[URIParser]]
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deps = ["Test", "Unicode"]
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git-tree-sha1 = "6ddf8244220dfda2f17539fa8c9de20d6c575b69"
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uuid = "30578b45-9adc-5946-b283-645ec420af67"
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version = "0.4.0"
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[[UUIDs]]
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deps = ["Random"]
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uuid = "cf7118a7-6976-5b1a-9a39-7adc72f591a4"
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[[Unicode]]
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uuid = "4ec0a83e-493e-50e2-b9ac-8f72acf5a8f5"

‎Project.toml

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name = "FinancialDerivatives"
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uuid = "b21666fa-ca8c-11e8-3cc4-33811bd3fa24"
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license = "MIT"
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authors = "Alexandre Brilhante"
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version = "0.1.0"
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[deps]
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Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
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Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
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Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
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Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

‎README.md

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# FinancialDerivatives.jl
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[![Build Status](https://travis-ci.org/brilhana/FinancialDerivatives.jl.svg?branch=master)](https://travis-ci.org/brilhana/FinancialDerivatives.jl)
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[![Coverage Status](https://coveralls.io/repos/brilhana/FinancialDerivatives.jl/badge.svg?branch=master&service=github)](https://coveralls.io/github/brilhana/FinancialDerivatives.jl?branch=master)
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[![codecov.io](http://codecov.io/github/brilhana/FinancialDerivatives.jl/coverage.svg?branch=master)](http://codecov.io/github/brilhana/FinancialDerivatives.jl?branch=master)
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Financial derivatives modeling and pricing in Julia.
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## Models
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* Black-Scholes.
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* Brennan-Schwartz.
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* Cox-Ross-Rubinstein.
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* Garman-Kohlhagen.
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* Longstaff-Schwartz.
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* Rendlemen-Bartter.
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* Vasicek.
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## Installation
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```julia
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(v1.0) pkg> add https://github.com/brilhana/FinancialDerivatives.jl
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```
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## Usage
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```julia
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using FinancialDerivatives
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american_put = Option(100.0, 90.0, 0.05, 0.3, 180/365, -1)
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evaluate(american_put, BlackScholes())
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```

‎appveyor.yml

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environment:
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matrix:
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- JULIA_URL: "https://julialang-s3.julialang.org/bin/winnt/x86/1.0/julia-1.0-latest-win32.exe"
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- JULIA_URL: "https://julialang-s3.julialang.org/bin/winnt/x64/1.0/julia-1.0-latest-win64.exe"
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- JULIA_URL: "https://julialangnightlies-s3.julialang.org/bin/winnt/x86/julia-latest-win32.exe"
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- JULIA_URL: "https://julialangnightlies-s3.julialang.org/bin/winnt/x64/julia-latest-win64.exe"
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branches:
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only:
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- master
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- /release-.*/
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notifications:
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- provider: Email
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on_build_success: false
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on_build_failure: false
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on_build_status_changed: false
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install:
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- ps: "[System.Net.ServicePointManager]::SecurityProtocol = [System.Net.SecurityProtocolType]::Tls12"
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# If there's a newer build queued for the same PR, cancel this one
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- ps: if ($env:APPVEYOR_PULL_REQUEST_NUMBER -and $env:APPVEYOR_BUILD_NUMBER -ne ((Invoke-RestMethod `
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https://ci.appveyor.com/api/projects/$env:APPVEYOR_ACCOUNT_NAME/$env:APPVEYOR_PROJECT_SLUG/history?recordsNumber=50).builds | `
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Where-Object pullRequestId -eq $env:APPVEYOR_PULL_REQUEST_NUMBER)[0].buildNumber) { `
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throw "There are newer queued builds for this pull request, failing early." }
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# Download most recent Julia Windows binary
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- ps: (new-object net.webclient).DownloadFile(
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$env:JULIA_URL,
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"C:\projects\julia-binary.exe")
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# Run installer silently, output to C:\projects\julia
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- C:\projects\julia-binary.exe /S /D=C:\projects\julia
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build_script:
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# Need to convert from shallow to complete for Pkg.clone to work
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- IF EXIST .git\shallow (git fetch --unshallow)
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- C:\projects\julia\bin\julia -e "versioninfo();
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Pkg.clone(pwd(), \"FinancialDerivatives\"); Pkg.build(\"FinancialDerivatives\")"
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test_script:
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- C:\projects\julia\bin\julia -e "Pkg.test(\"FinancialDerivatives\")"

‎src/FinancialDerivatives.jl

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module FinancialDerivatives
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import Distributions: cdf, Normal
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import Statistics: mean
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export InterestRateDerivative,
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Option,
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FXOption
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export BlackScholes,
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BrennanSchwartz,
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CoxRossRubinstein,
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GarmanKohlhagen,
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LongstaffSchwartz,
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RendlemanBartter,
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Vasicek
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export evaluate
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abstract type Model end
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include("derivatives.jl")
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include("models/black_scholes.jl")
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include("models/brennan_schwartz.jl")
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include("models/cox_ross_rubinstein.jl")
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include("models/garman_kohlhagen.jl")
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include("models/longstaff_schwartz.jl")
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include("models/rendleman_bartter.jl")
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include("models/vasicek.jl")
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end # module

‎src/derivatives.jl

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abstract type Derivative end
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abstract type Forward <: Derivative end
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abstract type Future <: Derivative end
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abstract type Swap <: Derivative end
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abstract type Swaption <: Derivative end
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struct InterestRateDerivative{T<:Number}
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k::T
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r::T
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σ::T
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θ::T
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t::T
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end
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struct Option{T<:Number}
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s::T
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k::T
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r::T
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σ::T
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t::T
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call::Int64
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end
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struct FXOption{T<:Number}
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s::T
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k::T
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r_d::T
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r_f::T
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σ::T
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t::T
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call::Int64
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end

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