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Current vendor packages are listed and documented
HipsterZipster Jul 9, 2019
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Add reference from contributing.md back to root readme
HipsterZipster Jul 9, 2019
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4 changes: 2 additions & 2 deletions CONTRIBUTING.md
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Original file line number Diff line number Diff line change
Expand Up @@ -39,7 +39,7 @@ Finally, submit a pull request. In your pull requests:
* If you're going to contribute code from other open source projects, commit that code first with `covered by: <license>`
where `<license>` is license of the code being committed. Ensure the file retains its original copyright notice and add an appropriate line to
NOTICE.txt in the same commit. You can then modify that code in subsequent commits with a reference to your DCO and copyright.

* See the root [README.md](./README.md) for more information on acceptable licenses.

# Coding Style
Please see [PEP 8 - Style Guide for Python Code](https://www.python.org/dev/peps/pep-0008/).
Expand Down Expand Up @@ -91,4 +91,4 @@ This certification is effective for all code contributed from <date submitted> t

`<your name>` must reference your real name; we will not accept aliases, pseudonyms or anonymous contributions.
Issue a pull request with the appropriate DCO and a change to NOTICE.txt with
one line `This product contains code copyright <copyright holder name>, licensed under Apache 2.0 license`.
one line `This product contains code copyright <copyright holder name>, licensed under Apache 2.0 license`.
59 changes: 53 additions & 6 deletions README.md
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@@ -1,22 +1,31 @@
# GS Quant

**GS Quant** is a python toolkit for quantitative finance, which provides access to an extensive set of derivatives pricing data through the Goldman Sachs Marquee developer APIs. Libraries are provided for timeseries analytics, portfolio manipulation, risk and scenario analytics and backtesting. Can be used to interact with the Marquee platform programmatically, or as a standalone software package for quantitiative analytics.
**GS Quant** is a python toolkit for quantitative finance, which provides access to an extensive set
of derivatives pricing data through the Goldman Sachs Marquee developer APIs. Libraries are provided
for timeseries analytics, portfolio manipulation, risk and scenario analytics and backtesting. Can
be used to interact with the Marquee platform programmatically, or as a standalone software package
for quantitiative analytics.

Created and maintained by quantitative developers (quants) at Goldman Sachs to enable development of trading strategies and analysis of derivative products. Can be used to facilitate derivative structuring and trading, or as statistical packages for a variety of timeseries analytics applications.
Created and maintained by quantitative developers (quants) at Goldman Sachs to enable development of
trading strategies and analysis of derivative products. Can be used to facilitate derivative
structuring and trading, or as statistical packages for a variety of timeseries analytics
applications.

See also Getting Started notebook in the gs_quant folder or package.

## Installation

pip install gs-quant

GS users: pip install gs-quant[internal] --user

## Dependencies

Python 3.6 or 3.7 \
Package dependencies can be installed by pip.
Package dependencies can be installed by pip.

## Example

```python
import datetime
import numpy as np
Expand All @@ -29,7 +38,7 @@ from gs_quant.session import Environment, GsSession
from gs_quant.timeseries import volatility

# N.b., GsSession.use(Environment.PROD, <client_id>, <client_secret>, scopes=('read_product_data','run_analytics')) will set the default session

with GsSession.get(Environment.PROD, <client_id>, <client_secret>, scopes=('read_product_data','run_analytics')):
# get coverage for a dataset; run a query
weather = Dataset('WEATHER')
Expand All @@ -41,15 +50,53 @@ with GsSession.get(Environment.PROD, <client_id>, <client_secret>, scopes=('read
series = pd.Series(np.random.rand(len(range)), index=range) # randomly generated
vol = volatility(series, 252)
vol.plot() # requires matplotlib

# Non-GS users: the below functionality requires extra permissions
# Please contact your sales coverage to request access

# price an interest rates swap and compute its bucketed delta
irs = IRSwap(PayReceive.Pay, "5y", Currency.USD, fixedRate=0.0275)
pv = irs.price()
ir_delta = irs.calc(risk.IRDelta)
```

## 3rd Party Packages and Licenses

| package | license | url | usage |
| ------------------------ | ---------------------------------------- | -------------------------------------------------- | --------------------------- |
| backoff | MIT | https://pypi.org/project/backoff/ | install_require |
| cachetools | MIT | https://pypi.org/project/cachetools/ | install_require |
| configparser | MIT | https://pypi.org/project/configparser/ | install_require |
| funcsigs | Apache Software License (ASL) | https://pypi.org/project/funcsigs/ | install_require |
| future | OSI Approved, MIT License (MIT) | https://pypi.org/project/future/ | install_require |
| inflection | MIT | https://pypi.org/project/inflection/ | install_require |
| msgpack | Apache Software License (Apache 2.0) | https://pypi.org/project/msgpack/ | install_require |
| pandas | BSD | https://pypi.org/project/pandas/ | install_require |
| python-dateutil | Apache Software License, BSD License | https://pypi.org/project/python-dateutil/ | install_require |
| requests | Apache Software License (Apache 2.0) | https://pypi.org/project/requests/ | install_require |
| scipy | BSD License (BSD) | https://pypi.org/project/scipy/ | install_require |
| six | MIT License (MIT) | https://pypi.org/project/six/ | install_require |
| requests_kerberos | ISC License | https://pypi.org/project/requests-kerberos/ | extras_require internal |
| jupyter | BSD License (BSD) | https://pypi.org/project/jupyter/ | extras_require notebook |
| matplotlib | Python Software Foundation License (PSF) | https://pypi.org/project/matplotlib/ | extras_require notebook |
| pprint | MIT | https://pypi.org/project/pprint/ | extras_require notebook |
| pytest | MIT | https://pypi.org/project/pytest/ | extras_require test,develop |
| pytest-cov | BSD License (MIT) | https://pypi.org/project/pytest-cov/ | extras_require test,develop |
| pytest-mock | MIT License (MIT) | https://pypi.org/project/pytest-mock/ | extras_require test,develop |
| testfixtures | MIT License (MIT) | https://pypi.org/project/testfixtures/ | extras_require test,develop |
| sphinx | BSD License (BSD) | https://pypi.org/project/Sphinx/ | extras_require develop |
| sphinx_rtd_theme | MIT License (MIT) | https://pypi.org/project/sphinx_rtd_theme/ | extras_require develop |
| sphinx_autodoc_typehints | MIT License (MIT) | https://pypi.org/project/sphinx_autodoc_typehints/ | extras_require develop |

## Adding a new package

We advise checking with gs-quant maintainers before adding any additional vendor packages that are
not covered under one of the above licenses to determine whether it would be acceptable Generally
speaking, copyleft licenses such as GNU AGPLv3, GNS GPLv3, GNU LGPLv3, Mozilla Public License 2.0
are not acceptable. Information on various licenses can be found on
[choosealicense.com](https://choosealicense.com/appendix/). See [contributing.md](./CONTRIBUTING.md)
for help on how to contribute.

## Help

Write to our distribution list: [email protected]