Theoretical Finance Computation Using Fortran
Parts of this code have been with me for quite some time. I originally started this in college to help with a mathematical modeling course. Over the years it has collected more functionality as my needs have expanded -- mostly investment applications. Most recently I've added quite a bit of stuff around retirement planning.
Much of the functionality is contained in a set of modules I call MR Fortran Finance Library.
You will find a few directories at the root of the repository covering various computational finance topics:
- Retirement Simulator : Retirement Simulator Tool
- monte_carlo : Illustrates basic resampling monte carlo for inflation and stock market returns.
- loans : Various loan TVM problems.
- retirement : Some TVM-style retirement problems.
- cashflows : Just a demo of the cashflow module.
Lastly, a warning. I'm not a finance expert -- just an amateur investor trying to plan my retirement. So don't take anything you see here as expert advice -- or even assume it's correct. In fact, expect errors! Double check any results you get. Keep an eye out for bugs, and report what you find!
-mitch
PS: Have Fun!