awesome-quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

Languages

• Python
• R
• Julia
• Java
• Haskell
• Scala
• Frameworks - frameworks that support different languages
• Reproducing Works - repositories that reproduce books and papers results or implement examples

##Python

Numerical Libraries & Data Structures

• numpy - NumPy is the fundamental package for scientific computing with Python.
• scipy - SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering.
• pandas - pandas is an open source, BSD-licensed library providing high-performance, easy-to-use data structures and data analysis tools for the Python programming language.

Financial Instruments

• PyQL - QuantLib's Python port
• pyfin - Basic options pricing in Python
• vollib - vollib is a python library for calculating option prices, implied volatility and greeks.
• QuantPy - A framework for quantitative finance In python.

Trading

• TA-Lib - perform technical analysis of financial market data
• trade - trade is a Python framework for the development of financial applications.
• zipline - Pythonic algorithmic trading library
• QuantSoftware Toolkit - Python-based open source software framework designed to support portfolio construction and management.
• quantitative - Quantitative finance, and backtesting library

Risk Analysis

• Python
  • pyfolio - Portfolio and risk analytics in Python
  • qrisk - Common financial risk and performance metrics.

Time Series

• ARCH - ARCH models in Python
• statsmodels - Python module that allows users to explore data, estimate statistical models, and perform statistical tests.

Calendars

• tradingcalendar - Stock Exchange Trading Calendar
• bizdays - Business days calculations and utilities

R

Numerical Libraries & Data Structures

• xts - eXtensible Time Series: Provide for uniform handling of R's different time-based data classes by extending zoo, maximizing native format information preservation and allowing for user level customization and extension, while simplifying cross-class interoperability.
• data.table - Extension of data.frame: Fast aggregation of large data (e.g. 100GB in RAM), fast ordered joins, fast add/modify/delete of columns by group using no copies at all, list columns and a fast file reader (fread). Offers a natural and flexible syntax, for faster development.

Financial Instruments

• RQuantLib - RQuantLib connects GNU R with QuantLib.
• quantmod - Quantitative Financial Modelling Framework
• Rmetrics - The premier open source software solution for teaching and training quantitative finance
  • fAsianOptions - EBM and Asian Option Valuation
  • fAssets - Analysing and Modelling Financial Assets
  • fBasics - Markets and Basic Statistics
  • fBonds - Bonds and Interest Rate Models
  • fExoticOptions - Exotic Option Valuation
  • fOptions - Pricing and Evaluating Basic Options
  • fPortfolio - Portfolio Selection and Optimization
• portfolio - Analysing equity portfolios
• portfolioSim - Framework for simulating equity portfolio strategies
• stockPortfolio - Build stock models and analyze stock portfolios
• financial - Time value of money, cash flows and other financial functions.
• sde - Simulation and Inference for Stochastic Differential Equations
• termstrc - Zero-coupon Yield Curve Estimation
• YieldCurve - Modelling and estimation of the yield curve
• SmithWilsonYieldCurve - Constructs a yield curve by the Smith-Wilson method from a table of LIBOR and SWAP rates
• ycinterextra - Yield curve or zero-coupon prices interpolation and extrapolation
• opefimor - Option Pricing and Estimation of Financial Models in R
• maRketSim - Market simulator for R
• AmericanCallOpt - This package includes pricing function for selected American call options with underlying assets that generate payouts
• VarSwapPrice - Pricing a variance swap on an equity index
• RND - Risk Neutral Density Extraction Package
• LSMonteCarlo - American options pricing with Least Squares Monte Carlo method
• OptHedging - Estimation of value and hedging strategy of call and put options
• tvm - Time Value of Money Functions
• OptionPricing - Option Pricing with Efficient Simulation Algorithms
• credule - Credit Default Swap Functions
• derivmkts - Functions and R Code to Accompany Derivatives Markets
• FinCal - Package for time value of money calculation, time series analysis and computational finance
• r-quant - R code for quantitative analysis in finance

Trading

• TA-Lib - perform technical analysis of financial market data
• backtest - Exploring Portfolio-Based Conjectures About Financial Instruments
• pa - Performance Attribution for Equity Portfolios
• TTR - Technical Trading Rules

Risk Analysis

• PerformanceAnalytics - Econometric tools for performance and risk analysis

Time Series

Calendars

• RQuantLib
• timeDate - Chronological and Calendar Objects
• bizdays - Business days calculations and utilities

Julia

• QuantLib.jl - Quantlib implementation in pure Julia.
• FinancialMarkets.jl - Describe and model financial markets objects using Julia
• Ito.jl - A Julia package for quantitative finance

Java

• JQuantLib - JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java.
• finmat.net - Java library with algorithms and methodologies related to mathematical finance.
• quantcomponents - Free Java components for Quantitative Finance and Algorithmic Trading

Haskell

• quantfin - quant finance in pure haskell
• hqfl - Haskell Quantitative Finance Library

Scala

• QuantScale - Scala Quantitative Finance Library

Frameworks

• QuantLib - The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance.
  • JQuantLib - Java port
  • RQuantLib - R port
  • QuantLibAddin - Excel support
  • QuantLibXL - Excel support
  • QLNet - .Net port
  • PyQL - Python port
  • QuantLib.jl - Julia port
• TA-Lib - perform technical analysis of financial market data

Reproducing Works

• Derman Papers - Notebooks that replicate original quantitative finance papers from Emanuel Derman.
• volatility-trading - A complete set of volatility estimators based on Euan Sinclair's Volatility Trading.
• quant - Quantitative Finance and Algorithmic Trading exhaust; mostly ipython notebooks based on Quantopian, Zipline, or Pandas.