New packages proposition

[alexandrebrilhante]

As discussed with @iblis17, it would be quite useful to develop two new libraries: FinancialDerivatives.jl to model and price derivatives and StochasticSimulation.jl as a simulation engine to price instruments and backtest strategies which seems like missing piece of the puzzle. For the second package, a former professor of mine who has done extensive research on stochastic simulation methods and developed a similar library in Java (SSJ) would be willing to assist in the design. Below is a flowchart with existing packages we can use, extend or refer to.

I'm willing to carry both projects forward.

[iblislin]

cc @femtotrader

[femtotrader]

You should have a look at https://www.youtube.com/watch?v=dy7tXk403bM it's about

• SDEModels.jl https://github.com/Godisemo/SDEModels.jl
• OptionPrice.jl (Fourier option pricing)

You should notice that there is also https://github.com/rcalxrc08/FinancialToolbox.jl for pricing

About backtesting, there is currently in Julia https://github.com/dysonance/Strategems.jl https://github.com/JuliaQuant/TradingLogic.jl

[alexandrebrilhante]

@femtotrader: the pricing packages you mentioned seem to be focused on options using Black-Scholes. My proposition would include other derivatives (swaps, futures) and methods to price them. As for the proposed StochasticSimulation.jl package, it could supplement Strategems.jland TradingLogic.jl really well.

[femtotrader]

I will very pleased to give your StochasticSimulation.jl package some highlight by hosting it in https://github.com/JuliaQuant/ Github org. Maybe you should first create it in https://github.com/brilhana where we could help and move it to JuliaQuant when it will have enough features. What is your opinion about it?

[alexandrebrilhante]

Sounds good. I wanted to submit a blueprint and get other contributors' feedback before starting the development. Will start now.

[femtotrader]

This JuliaCon 2018 lightning talk from https://github.com/bkamins may be worth looking https://juliacon2018.sched.com/event/FQ4D/performance-of-monte-carlo-pricing-of-asian-options-using-multi-threading?iframe=yes&w=100%&sidebar=no&bg=no#

https://www.youtube.com/watch?v=Ni9A9B3zoXA

[femtotrader]

FinancialDerivatives.jl is now available at:

• https://juliaquant.github.io/FinancialDerivatives.jl/dev/ (documentation)
• https://github.com/JuliaQuant/FinancialDerivatives.jl (code)

[iblislin]

:tada: :tada: :tada: