SquantLib

SquantLib is a financial engineering tool written in Scala.

Helps, suggestions and bug-fix are very much appreciated!!

What can it do?

###Rates

• Building discountable yield curves from
  • cash rate, swap rate, ccy basis swap and 3m/6m basis swap
  • non-deliverable swap
  • fx swap points
• Draw simple charts
• Compute cashflow discount factor using given discounting currency & spread.
• Build swaption volatility surface
• Pricing simple swaptions

###FX

• Compute forward fx
• Build fx volatility surfaces

###Equity and Index

• Compute forward price
• Build volatility surfaces

###Bond

• Cashflows
  • Fixed rate
  • Binary
  • Sum of linear equations
  • Cap, floor
  • Forward, Put
  • American knock-in
  • Issuer's early termination
  • Automatic trigger
• Greeks
  • rate delta, fx delta
  • rate vega, fx vega
  • yield (simple, compounding)
  • duration (effective, modified, macaulay)
  • convexity, etc.
• Analysis
  • FX exercise frontier
  • Rate exercise frontier
  • Forward bond price
• Handling bonds with published prices

###Historical

• Historical volatility
• Historical correlation
• Moving average, etc

###Exotic

• BS formula
• Montecarlo models
  • single factor only for now
  • continuous dividend
  • discrete dividend + repo
• Model extension
  • Exercise frontier pre-computation for issuer's callability

###To Do

• More sophisticated pricing models
• Rate exotics (Bermudan swaptions)

Contact

Masakatsu Wakayu (masakatsu.wakayu@imperial-ft.com) Imperial Finance & Technology (http://www.imperial-ft.com)