Would like to add additional methods from Hagan West.

Forward Monotone Convex Spline
Raw Interpolation
Minimalist Quadratic Interpolator

An implementation can be found here.

https://github.com/KNFO-MIMUW/Hagan_West_interpolation

Once I have a FxVolSurface object calibrated I am trying to retrieve the Strike corresponding to a set deltaTarget and ExpiryDate. This would be used to price a fxVanillaOption with specified delta as input instead of specified strike.

#Issue 1
This function doesn't seem to exist in the class functions with only 2 args as parameters (self, deltaTarget as float,ExpiryDate as FinDate).

#Issue 2 (alternative using solveForSmileStrike)
solveForSmileStrike seem to do the job but only for specific Expiry dates. However in FinFXVolSurfacePlus the function solveForSmileStrike takes into parameters:
OptionTypeValue
deltaTarget
tenorIndex
initialValue

This currently returns an error probably because the args (strikes = args[9] and gaps = args[10]) are not specified when calling deltaFit

Create object that contains a portfolio of bonds
Calculate duration, convexity and price
Pricing from discount curve object

You'll need to offer curve calibration using outright OIS & IBOR tenor swaps, OIS meeting date swaps, basis swaps of either IBOR/IBOR, IBOR/OIS or OIS/OIS, OIS and IBOR futures, IBOR FRAs (I include ESTR and SOFR in the OIS category). You should also allow for multiple overnight rates per currency (SOFR+FF & ESTR+EONIA).

The most interesting case to cover is probably AUD where you need full multi-curve support as the 3m and 6m curves are co-dependent on each other.

Great library!

A few useful payoffs could be added in FX:

• FinFXOneTouchOption (adaptation of FinEquityOneTouchOption)
• FinDoubleOneTouchOption & FinDoubleDigitalOption (adaptation of "single" barrier payoffs)
• FinFXDualOneTouchOption & FinFXDualDigitalOption (would require an additional implied correlation parameter)

All five payoffs are quite commonly used by FX market practitioners as considered "Light exotic".

@domokane , awesome work with this package! Great to see everything written in Python.

One feature request - it would be great to get calendars added for the rest of the G10 markets. Could use QL calendars as a reference.

Thanks!

Add perpetual bond type and associated yield and risk measures.

It would be very helpful to have a normal vol (bachelier) SABR pricing model. I know the bachelier model exists as an alternative to black's, but the SABR formulation is a bit different.

Add to the model library a set of the American option approximations within Black-Scholes using

• Barone-Adesi and Whaley.
• Bjerksund and Stensland (1993 and 2002)

Value a floating-floating cross currency swap with a basis adjustment.

The current Equity implied volatility calculator uses Newton Raphson with an analytical first derivative (vega).

This has numerical issues for short-dated ITM options.

Needs to be fixed by converting ITM option to OTM using put call parity and then solving for that option with new implied price.

Build a sub-folder with main commodity derivatives.

To be specced.

FinDate has been implemented with only some Python datetime dependency in a few functions.

However the issue of processing speed is becoming more important.

I would be interested to know which of the following approaches is superior in speed terms.

1. Make FinDate (which now includes date and time) a thin layer over datetime i.e. all functions should call datetime functions rather than do processing themselves.

or

2. Make FinDate independent of datetime and do all of the logic in the FinDate class. In this case consider if FinDate should be sped up using numba ? Functions like addDays and addMonths might benefit.

I imagine two implementations of FinDate which can be implemented and compared. Only core functions of date generation and differencing and rolling foward in date steps should be compared as most other functions build on these.

Code up power options in a way that can be used by equity and FX derivatives

Update BDT tree to allow for shifted rates (and negative rates)

Simulation of CPPI based products.

Add inflation linked bond type and associated real and inflation linked yield measures. Test against BBG.

Test cases are in the golden folder.

Request to overload the FinDate constructor to accept date string and formatting string

Some functions take a date as an input. However I would like to be able to pass in a vector/list of dates and/or a vector of enums and get a corresponding vector of values.

This is shown in notebook

https://github.com/domokane/FinancePy/blob/master/notebooks/products/equity/EQUITY_VANILLA_EUROPEAN_STYLE_OPTION_VECTORISATION.ipynb

Consider f(x,y,z). Behaviour that would be good

1. If x is an N-element vector and y, z not then f(x,y,z) is an N-element vector for each value of x
2. If x is an N-element vector and y is an N element vector but z is not then f(x,y,z) is an N-element vector for each value of x,y
3. If x, y, z are all an N-element vector then f(x,y,z) is an N-element vector for each value of x,y

A generic approach would be best that is easy to modify and relies on a central function that takes as argument the function to be called.

The current FX implied volatility calculator uses Newton Raphson with an analytical first derivative (vega).

This has numerical issues for short-dated ITM options.

Needs to be fixed by converting ITM option to OTM using put call parity and then solving for that option with new implied price.

runAllTests.py raises error while testing the master. only two test cases passed. Need to add functionality to check other tests instead of halting if one test fails too.

Testing module TestFinModelRatesBDT (3 out of 90)
Traceback (most recent call last):
  File "tests/runAllTests.py", line 26, in <module>
    moduleName = __import__(moduleTextName)
  File "/home/runner/work/FinancePy/FinancePy/tests/TestFinModelRatesBDT.py", line 284, in <module>
    test_BDTExampleTwo()
  File "/home/runner/work/FinancePy/FinancePy/tests/TestFinModelRatesBDT.py", line 160, in test_BDTExampleTwo
    price = bond.cleanPriceFromDiscountCurve(settlementDate, curve)
  File "/opt/hostedtoolcache/Python/3.8.5/x64/lib/python3.8/site-packages/financepy-0.184-py3.8.egg/financepy/products/bonds/FinBond.py", line 320, in cleanPriceFromDiscountCurve
    self.calcAccruedInterest(settlementDate)
  File "/opt/hostedtoolcache/Python/3.8.5/x64/lib/python3.8/site-packages/financepy-0.184-py3.8.egg/financepy/products/bonds/FinBond.py", line 443, in calcAccruedInterest
    (accFactor, num, _) = dc.yearFrac(self._pcd,
  File "/opt/hostedtoolcache/Python/3.8.5/x64/lib/python3.8/site-packages/financepy-0.184-py3.8.egg/financepy/finutils/FinDayCount.py", line 213, in yearFrac
    freq = FinFrequency(frequencyType)
  File "/opt/hostedtoolcache/Python/3.8.5/x64/lib/python3.8/site-packages/financepy-0.184-py3.8.egg/financepy/finutils/FinFrequency.py", line 30, in FinFrequency
    if frequencyType in FinFrequencyTypes:
  File "/opt/hostedtoolcache/Python/3.8.5/x64/lib/python3.8/enum.py", line 315, in __contains__
    raise TypeError(
TypeError: unsupported operand type(s) for 'in': 'int' and 'EnumMeta'

Generic framework for fitting an interest rate model to the swaption market

Bootstrap discount factors from the OIS.

The conjugate gradient descent algorithm in scipy is slow and prevents the calling function from being jitted by numba. Idea is to find a python version of the CG minimiser that can be jitted to give faster minimisations.

Hi,

Would it be possible to extend the FinEquityVolCurve class into a Surface:
User Inputs (for S&P 500 on 11 Jan 2021)

• value Date (ex: FindDate(2021,1,11) )
• Array of Expires (ex: [FindDate(2021,2,11), FindDate(2021,3,11), FindDate(2021,4,11), FindDate(2021,7,11), FindDate(2021,10,11), FindDate(2022,1,11), FindDate(2023,1,11)])
• Array of Strikes (ex: [3037 3418 3608 3703 3798 3893 3988 4178 4557])
• Array of Vols (ex: [42.94 31.30 25.88 22.94 19.72 16.90 15.31 17.54 25.67,
  37.01 28.25 24.19 21.93 19.57 17.45 15.89 15.34 21.15,
  34.68 27.38 23.82 21.85 19.83 17.98 16.52 15.31 18.94,
  31.41 26.25 23.51 22.05 20.61 19.25 18.03 16.01 15.90,
  29.91 25.58 23.21 22.01 20.83 19.70 18.62 16.63 14.94,
  29.26 25.24 23.03 21.91 20.81 19.73 18.69 16.76 14.63,
  27.59 24.33 22.72 21.93 21.17 20.43 19.71 18.36 16.26] )

This would return a VolSurface object. The volatility method would also be extended to take as input a strike and expiry date.

Looking at Equity products. FinEquityVanillaOption methods for example take as argument for the dividend as a float. Would be nice to have the dividendCurve object passed as argument directly similar to the discountCurve instead of passing dividendCurve.df(self._expiryDate)

Scipy optimisers are used in a number of locations. However it is not been possible to Numba the objection functions.
I have rewritten the optimisers in FinSolver but there are problems using njit
The aim here is to

1. Numba the optimisers
2. Numba the objective function
3. Amend all functions that use Scipy to use FinSolver to use the Numba versions

Overall aim is to make these functions as fast as possible.

Allow users to select Sobol numbers instead of Quasi random numbers in Asian option pricing.

UK Gilts can have negative accrual, this applies for 6 business days prior to the coupon.

Other issuers have similar treatment e.g. Australian bonds have 7 calendar days of ex-div.

If anyone has access to Bloomberg analytics that I can compare to then please send examples.
Especially with regards to

• Bonds - bullet, floating rate notes, perpetuals, step-ups, callable, puttable
• Convertibles - all sorts
• Options on bonds
• FRAs
• Interest rate futures
• Swaps
• Cross currency swaps
• Swap curves construction
• OIS
• Caps, floors, swaptions
• Other exotics
  etc...

Add a product type for an option on an equity index called FinEquityIndexOption

This is similar to an Equity vanilla option but customised to index options.

The option can be European or American exercise.

The valuation can take in the futures price rather than the spot price.

It also needs an implied volatility calculation.

Most of this can be copied from FinEquityVanillaOption.

As we have index futures contracts, pricing uses Black's model rather than Black-Scholes.

You will need to add a test module and a notebook showing how this product works.

Reference

https://globaljournals.org/GJMBR_Volume12/10-Pricing-of-Index-Options-Using-Blacks-Model.pdf

Create an object to store volatility by start tenor, swap tenor and strike
Also does interpolation.

Implement swaption pricing using Longstaff-Schwartz approach.

Test cases are in the golden folder.