Getting Started

Installation

FinancialDerivatives is a unregistered package for the moment. To add it to your Julia packages, simply do the following in REPL:

(v1.0) pkg> add https://github.com/JuliaQuant/FinancialDerivatives.jl

Usage

To price an European option, simply create a new EuropeanOption and pass it to evaluate with the desired valuation model:

julia> using FinancialDerivatives

julia> euro_put = EuropeanOption(100.0, 90.0, 0.05, 0.3, 180/365, -1)

julia> evaluate(euro_put, BlackScholes())
3.2281936525908073