financialkit: a quantitative-finance toolkit
Abstract
The first release. Added Repository scaffold, structurally cloned from mathematicskit: pyproject.toml (numpy, scipy and matplotlib, with numba in the fast extra), CI, docs and release workflows, pre-commit, the Sphinx site with per-domain hubs, galleries, history pages and JupyterLite, and the root docs. The README and the docs index state that the package is educational and research software, not investment advice. financialkit.constants: TRADING_DAYS_PER_YEAR, CALENDAR_DAYS_PER_YEAR, the DayCount enum and the default tolerances DEFAULT_ATOL, DEFAULT_RTOL and DEFAULT_MAX_ITER. financialkit._jit: an optional numba njit that falls back to a no-op decorator, so the package runs under Pyodide. financialkit.integrators, the shared SDE module: euler_maruyama and milstein, exact gbm_paths and ou_paths, brownian_increments, correlated_increments, antithetic_increments, sobol_increments and brownian_bridge, and strong_convergence and weak_convergence (ConvergenceResult). 14 domain subpackages. Each has its own tests, visualizers, gallery and a history page of at least 15 dated breakthroughs, each linked to its own gallery example (239 examples in all): time_value: compounding and equivalent rates, present value and NPV, annuities, perpetuities and life annuities, IRR (with MultipleIRRWarning) and MIRR, amortization and the APR, sinking funds, and day counts and accrued interest for every DayCount. fixed_income: bond prices, yields and STRIPS; Macaulay, modified, Fisher-Weil, effective and key rate durations and convexity; Redington immunization; bootstrapped, McCulloch spline, Nelson-Siegel and Svensson curves; yield-curve PCA; and interest rate and currency swaps. options: Bachelier, Black-Scholes-Merton, Black-76 and Garman-Kohlhagen; parity and no-arbitrage bounds; the Greeks and delta hedging; implied volatility, the smile and the Breeden-Litzenberger density; CRR, Rendleman-Bartter, Leisen-Reimer and trinomial trees; and Barone-Adesi-Whaley. interest_rate_models: 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, floors and swaptions; and HJM. monte_carlo: crude Monte Carlo with confidence intervals; stratification, importance sampling, antithetic, control and moment-matched variates and Latin hypercubes; Halton and Sobol QMC and discrepancies; pathwise and likelihood-ratio Greeks; and multilevel Monte Carlo. exotic_options: single, double and discrete barriers, binaries and one-touches, geometric and arithmetic Asians, lookbacks, variance swaps, compound, forward-start and chooser options, Margrabe, Stulz and quanto options, and Longstaff-Schwartz. pde_methods: explicit, implicit and Crank-Nicolson schemes with Rannacher smoothing, the Thomas algorithm, CFL and von Neumann stability, Richardson extrapolation, Tavella-Randall grids, the heat-equation transform, PSOR, Brennan-Schwartz, the penalty method and Peaceman-Rachford ADI. stochastic_volatility: CEV and Dupire local volatility, Hull-White and Heston, Merton, Kou, Bates and variance gamma, Carr-Madan FFT, Lewis and COS pricing, SABR, SVI and Lee's moment formula, and full-truncation and QE simulation. time_series: stylized facts and the Hill estimator, random-walk tests, Yule-Walker and ARMA, Dickey-Fuller and Engle-Granger, the Hurst exponent, ARCH, GARCH, EGARCH, GJR and EWMA, and range and realized volatility. risk: historical, parametric, Cornish-Fisher, Monte Carlo, hybrid and filtered VaR, expected shortfall and coherence, Euler allocation, extreme value theory, VaR backtests, copulas and tail dependence, safety first and drawdowns. portfolio: Markowitz, Tobin and Merton, Kelly, CPPI, single-index and Ledoit-Wolf covariances, Black-Litterman and resampling, CVaR optimization, maximum diversification, risk parity and HRP, and performance ratios. asset_pricing: dividend discount and 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 and factor models, Lucas's tree, the consumption CAPM and the equity premium puzzle, and the Hansen-Jagannathan bound. credit: Altman's Z-score, Merton, Black-Cox and Leland, the KMV distance to default, hazard curves, CDS pricing and bootstrapping, CreditMetrics and generator matrices, Vasicek's large pool, CreditRisk+, Li's copula, the Basel IRB formula and CDO tranches. market_microstructure: 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.
