Skip to content

ASRQuant

Auditable quantitative finance research in Python.

ASRQuant is the open-source quantitative-finance toolkit developed by Alpha Stochastic Research (ASR) for reproducible market-data, fixed-income, derivatives, risk, backtesting, validation, simulation and research-lineage workflows.

pip install --upgrade asrquant

  • Run the public practical case

    ECB EUR curve → 5Y IRS → DV01 → quote PV01 → stress → PBO / SPA → auditable report.

    Public practical case →

  • Get started

    Install ASRQuant and build a first reproducible research workflow.

    Quickstart →

  • Quant research

    Explore validation, risk, Monte Carlo, hypothesis discovery and research infrastructure.

    Research toolkit →

  • Fixed income & derivatives

    Curves, conventions, rates risk and derivatives implemented through ASRQuant's native quantitative engines.

    Interest-rate derivatives →

  • Research validation

    CPCV, PBO, Reality Check, SPA, leakage diagnostics and multiverse analysis.

    Validation →

  • API reference

    Browse the API generated directly from the current source tree.

    Generated reference →

What makes ASRQuant different

ASRQuant is designed around a research chain rather than a collection of isolated functions:

data → assumptions → model → risk → validation → interpretation → reproducibility

The package keeps quantitative objects and research evidence inspectable: data snapshots, curve diagnostics, quote-space risk, time-series validation, experiment fingerprints and exported research reports.

ASRQuant 1.3

The 1.3 release line adds and strengthens:

  • market conventions and curve-construction contracts;
  • rates instruments and quote-space PV01;
  • credit foundations and scenarios;
  • CPCV, PBO, Reality Check, SPA, leakage and multiverse diagnostics;
  • point-in-time data and immutable snapshots;
  • experiment lineage, research graphs and reports;
  • calibration, sensitivities, transaction costs and cross-domain risk utilities.

One import

import asrquant as asr
print(asr.__version__)

Research software

ASRQuant is research infrastructure. It is not investment advice, a broker, or an execution venue.