A Unified Python Framework for Mathematical Finance - Proof of Concept

We demonstrate a unified Python framework for mathematical/computational finance.

We achieve a very significant productivity increase, compared to standard industry practices:

• Quickly develop new modules and applications.
• Keep the core C++ layers(s) thin - seldom updates.
• Access different systems and data sources, and run different libraries side-by-side from the same Python script.
• Automate user workflows. Typical example - producing live documentation, studies, and reports.
• Complete transparency of user workflows:
  • All underlying data and calculations are displayed in the document, or available via download links.
  • All results can be easily replicated.

Contents:

• Introduction
• Entire framework in one flowchart
• Use cases: Excel/GUI vs scripting
• Framework components and required software
• Case study: pricing and structuring
• Using Python and C++ libraries
• Using Excel addins (third party, on Windows)
• Input/output examples: csv files and database
• Building in-house libraries: Python
• Building in-house libraries: C++
• Tips: Work smarter, not harder
• Setup and compliance with IT policies

Indices and tables

• Index
• Module Index
• Search Page