93tilinfinity / Yield-Curve-FittingLinks
A B-Spline approach to modelling the term structure of interest rate swaps.
☆11Updated 5 years ago
Alternatives and similar repositories for Yield-Curve-Fitting
Users that are interested in Yield-Curve-Fitting are comparing it to the libraries listed below
Sorting:
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- Code repository for Pricing and Trading Interest Rate Derivatives☆102Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Quant Research☆90Updated last week
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆157Updated last year
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 6 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆242Updated 9 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆203Updated 11 months ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆167Updated 6 years ago
- Portfolio Construction and Risk Management book's Python code.☆145Updated last month
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆266Updated last month
- Macrosynergy Quant Research☆160Updated this week
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated 2 years ago
- Quantamental finance research with python☆153Updated 3 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆36Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆187Updated 2 months ago
- Algo Trading Research & Documentation☆21Updated 3 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆122Updated last month
- ☆246Updated last year
- Python library for asset pricing☆120Updated last year
- Examples using pysystemtrade for my blog qoppac.blogspot.com☆248Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆25Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆123Updated 8 months ago
- ☆47Updated 2 years ago
- SOFR curve bootstrapping☆27Updated 5 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆56Updated 5 months ago
- ☆82Updated 11 months ago
- volatility arbitrage in Heston model☆63Updated 7 months ago