Hedgehog.jl

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This library aims at pricing linear interest rates (IR) derivatives using a multi-curve framework.

Features

1. Daycount conventions,
2. Schedules generation, with business days adjustments (e.g.: Modified Following) and roll conventions (e.g.: End-Of-Month),
3. Discount factors and forward rates calculations,
4. Representation of fixed and floating rate swap legs,
5. Rate curves based on a flat rate or an interpolation,
6. Pricing of fixed and floating rate swap legs using rate curves.

The library has Symbolics.jl as a dependency with the purpose of running calculations symbolically for debugging or validation purposes.

Roadmap

• Decouple modules low level functionality for better unit testing, write orchestrators separately.
• Support Rate Curves interpolation in the space of rates rather than discount factors directly, based on a selected RateType (COMPLETE).
• Develop a calibration routine for a single curve.
• Setup for MultiCurve pricing in a single currency.
• Proper testing and benchmarking with Quantlib.py. (See Issue #2)