Financial Engineering Applications

Popular repositories Loading

1. MATLAB MATLAB Public

   Derivative pricing models in Matlab covering IR,EQ,FX,CO,CR asset classes

   MATLAB 3 3

2. Velocity-Engine Velocity-Engine Public

   Scripted Monte-Carlo Engine. Define payoff scripts in Matlab language. Compiler translates scripts into C++ kernels which can be run in the QuantLib MonteCarlo Framework

   C++ 1

3. strata-extensions strata-extensions Public

   FX Derivatives Extensions for OpenGamma Strata

   Java 1

4. FinancialDates FinancialDates Public

   C#/.NET Business date calculators

   C#

5. QuicToFpml QuicToFpml Public

   A .NET REST based web service which converts Markit/Quic formatted trade information into FpML v4.6

   C#

6. FileParser FileParser Public

   Parses Markit/QuiC formatted trade portfolios and produces statistical analysis of the types and distributions of trades

   F#