Fixed-Income-OS / fxpy
A python library for modeling and analyzing fixed income securities
☆10Updated 4 months ago
Related projects ⓘ
Alternatives and complementary repositories for fxpy
- Interest-rate modeling and Fixed Income Pricing in Python☆10Updated 3 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆16Updated 7 years ago
- Currency Binary Option Pricing with 3 methods and implied smile☆25Updated 5 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆38Updated 3 years ago
- • Visualised trend and seasonality & conducted tests for checking stationarity of Time series for predicting volatility using GARCH Model…☆17Updated last year
- Fixed income related calculations in Python☆19Updated 3 years ago
- Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.☆13Updated 6 years ago
- modeling FICC market with QuantLib☆20Updated 2 years ago
- Get discount factors and zero rates from interest rate swaps☆9Updated 6 years ago
- Predictive yield curve modeling in reduced dimensionality☆39Updated last year
- ☆57Updated last year
- This repository contains codes that were executed during my training in the CQF (Certificate in Quantitative Finance). The codes are orga…☆22Updated 9 months ago
- Basic Limit Order Book functions☆20Updated 6 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 5 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆80Updated last month
- Implementations of Leading Algorithms in Quantitative Finance☆41Updated 7 years ago
- This collects the scripts and notebooks required to reproduce my published work.☆43Updated this week
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆23Updated 5 years ago
- Dispersion Trading using Options☆26Updated 7 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- quantitative - Quantitative finance back testing library☆63Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 6 years ago
- A walk through the frameworks of Python in Finance. The repository is currently in the development phase. The finalized version will inc…☆26Updated last year
- Standardised Bloomberg Fixed Income Processing☆20Updated 4 years ago
- ☆24Updated last month
- This repo is for my articles published on Medium.com☆15Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month
- By means of stochastic volatility models☆41Updated 4 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆59Updated 2 years ago