I am currently reading material on how to price financial instruments such as FX Forward deals. One way of doing this seems to be by calculating its Fair Value³. This value can be split into two components wheras the first one is the part which is responsible for exchange rate changes, and the second part is responsible for interest rate changes.

My question is: Are there any libraries available, that do this calculation given that I provide the necessary input parameters?

Input parameters are:

  • bought currency
  • sold currency
  • nominal value
  • forward rate
  • spot rate
  • action date
  • deal date
  • maturity date
  • value date

There are two open source libraries that you should take a look at. Both feature a wide list of products and models.

  1. QuantLib. Written in C++ but usable in other languages such as Python. The library is developed for several years now. A feature that might come very handy is that there are toolboxes to implement derivative pricing libraries in Excel. Take a look here: https://www.quantlib.org/

Personally I use this book for learning QuantLib-Python: https://leanpub.com/quantlibpythoncookbook

  1. OpenGamma. Written in Java. In my view a bit harder to implement and less good documented. However, ther company that has developed it, offers commercial support. This might be an argument if you are writing software for a bank/company. Take a look here: https://opengamma.com/
  • $\begingroup$ +1 QuantLib is great and extremely powerful if you know how to use it. Not only do they have support for Python but R, Java, C#, Ruby and potentially more, those are the ones I know of off the top of my head. swig.sourceforge.net $\endgroup$ – Theodore Weld Jul 18 '18 at 19:15

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