Michael Fowlie's Computational Finance Package
Disclaimer: Use at your own risk. Nothing in this package is neccessarily accurate, or tested. Any trading you do or do not do based on this package is strictly at your own risk. See licence for more details. Even if the mathematics are accurate (and there is no warranty that they are), there are errors that will build up due to the use of floating point numbers. The algorithms may not be optimized to minimize the build up of this error.
Contributions are welcome but please message me first to discuss.