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For those interested in this space, a couple of related libraries in Julia: https://github.com/JuliaComputing/Miletus.jl https://github.com/JuliaComputing/Mile

For those interested in this space, a couple of related libraries in Julia: https://github.com/JuliaComputing/Miletus.jl https://github.com/JuliaComputing/Miletus.jl https://github.com/JuliaActuary/FinanceModels.jl https://github.com/JuliaActuary/FinanceModels.jl I’m the author of the second one, so am always interested to see discussions on financial modeling libraries.

kyleloomis 2y ago
Thanks for sharing. Your library seems to be a bit more extensive, including not only definitions but also modeling. Might be useful as a reference point if I integrate other functionality such as pricing.