Subpackages#
One hub per finance subpackage: its foundational history, runnable examples, and full API reference, all linked from a single page.
Foundations
Compounding and equivalent rates, present value and NPV, annuities, IRR and MIRR, amortization and the APR, and day-count conventions.
Bond prices and yields, STRIPS, Macaulay, modified, Fisher-Weil and key rate durations, convexity, bootstrapped, spline, Nelson-Siegel and Svensson curves, immunization, and swaps.
Derivatives
Bachelier, Black-Scholes-Merton, Black-76 and Garman-Kohlhagen, parity and bounds, the Greeks and delta hedging, implied volatility and the smile, and binomial and trinomial trees.
Merton, Reiner-Rubinstein, double and discretely monitored barriers, binaries and one-touches, Kemna-Vorst and Turnbull-Wakeman Asians, lookbacks, variance swaps, Geske compounds, forward starts and choosers, Margrabe, Stulz and quanto options, and Longstaff-Schwartz.
Cox’s CEV and Dupire local volatility, Hull-White and Heston stochastic volatility, Merton, variance gamma, Kou and Bates jumps, Carr-Madan FFT, Lewis and COS pricing, SABR, SVI and Lee’s moment formula, and full-truncation and QE simulation.
Numerical Methods
Crude Monte Carlo with error bars, stratification, importance sampling, antithetic, control and moment-matched variates, Latin hypercubes, Halton and Sobol QMC, likelihood-ratio and pathwise Greeks, and multilevel Monte Carlo.
Explicit, implicit and Crank-Nicolson schemes with Rannacher smoothing, the Thomas algorithm, CFL and von Neumann stability, Richardson extrapolation and Tavella-Randall grids, the heat-equation transform and trinomial equivalence, barriers, American options by PSOR, Brennan-Schwartz and penalty, and Peaceman-Rachford ADI.
Rates & Credit
Merton, Vasicek, CIR and affine short rates, Ho-Lee, Hull-White, G2++ and Black-Derman-Toy fitted to the curve, Jamshidian bond options and swaptions, Black caps and swaptions, and HJM.
Altman’s Z-score, Merton, Black-Cox and Leland structural models and the KMV distance to default, hazard curves and recovery conventions, CDS pricing and bootstrapping, CreditMetrics and generator matrices, Vasicek’s large pool, CreditRisk+, Li’s copula, the Basel IRB formula and CDO tranches.
Portfolios & Asset Pricing
Williams’s dividend discount model, Gordon growth, Modigliani-Miller and Shiller’s variance bound, the CAPM, Jensen’s alpha, the zero-beta CAPM and the GRS test, Fama-MacBeth, the APT, Fama-French and Carhart factors, Lucas’s tree, the consumption CAPM and the equity premium puzzle, state prices and the Hansen-Jagannathan bound.
Markowitz, Tobin and Merton frontiers, Kelly, Merton’s portfolio problem and CPPI, single-index and Ledoit-Wolf covariances, Black-Litterman and resampling, CVaR optimization, maximum diversification, risk parity and HRP, and the Sharpe, Sortino and information ratios.
Risk & Markets
Historical, parametric, Cornish-Fisher, Monte Carlo, hybrid and filtered VaR, safety first, expected shortfall and coherence, Euler allocation, extreme value theory, VaR backtests, copulas and tail dependence, and drawdowns.
Fat tails and the Hill index, random-walk tests (runs, Ljung-Box, variance ratios), Yule-Walker and ARMA with AIC, Dickey-Fuller and Engle-Granger, the Hurst exponent, ARCH, GARCH, EGARCH, GJR and EWMA, and range and realized volatility.
Quoted, effective and realized spreads, the Roll and Corwin-Schultz estimators, Lee-Ready classification, Garman, Ho-Stoll and Avellaneda-Stoikov dealers, Kyle and Glosten-Milgrom, Hasbrouck’s VAR, PIN and VPIN, square-root impact, Bertsimas-Lo and Almgren-Chriss execution, and Amihud illiquidity.