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Introduction to the Finance Package
The Finance package is a collection of tools for mathematical finance. This package builds on the functionality available in other packages such as LinearAlgebra, Statistics, Optimization, and CurveFitting. The package supports a wide range of common tasks such as date arithmetic, cash flow analysis, option pricing, and simulation. See the overview page for more details about the package.
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Sample Documents
Building Trinomial Trees
Calendars and Day Count Conventions
Term Structures of Interest Rates
Local Volatility and Implied Volatility
Simulating SVJJ Processes
Pricing Arithmetic Asian Options
Pricing European Options
Download Help Document