Fixed-Income-OS / fxpy
A python library for modeling and analyzing fixed income securities
☆10Updated 2 months ago
Alternatives and similar repositories for fxpy:
Users that are interested in fxpy are comparing it to the libraries listed below
- Interest-rate modeling and Fixed Income Pricing in Python☆11Updated 4 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆18Updated 8 years ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆14Updated last year
- Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.☆12Updated last year
- modeling FICC market with QuantLib☆20Updated 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 6 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆13Updated 2 years ago
- Fixed income related calculations in Python☆20Updated 4 years ago
- Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore moder…☆10Updated 4 years ago
- Portfolio optimization with cvxopt☆38Updated 3 months ago
- ☆38Updated 2 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago
- Basic package for fitting yield-curves and other things.☆19Updated 4 years ago
- Implementations of Leading Algorithms in Quantitative Finance☆48Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Currency Binary Option Pricing with 3 methods and implied smile☆25Updated 6 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆24Updated 6 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆41Updated 3 years ago
- ☆17Updated 7 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.☆14Updated 6 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆19Updated 8 months ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆124Updated 2 months ago
- A collection of quantitative finance notebooks. Including MPT, Monte Carlo simulations and Machine Learning algorithms☆14Updated 2 years ago