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README.md
bachelier.py

README.md

bachelier

Financial modelling has spread among a large audience these past years, concerning not only banking industry any more. Many pratictioners in insurance, asset management, ALM, commodities industries or treasuries use financial modelling to deliver better financial management.

However, these practioners have to reinvent the wheel, and reimplement the models, or depend on cumbersome commercial blackbox. While a vast litterature covers the financial modelling, easy to use open source tools come short, as the main users of these models (ie banks) cannot disclose them.

This open source library tries to fill the gap and give to these practitioners an easy to use open source library which implements the main financial models for basic uses as

  • real world simulation
  • risk neutral simulation
  • pricing of basic financial contracts

The choice of Python as a language has been natural as it becomes the main language for open source science.

This project is not in competition with QuantLib, which is a library for experts that focuses on pricing. Instead this library aims to be more general (hybrid modelling by default) and simpler to use, understand and extend.

Enjoy and join the project !