Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)
☆83Feb 20, 2026Updated last week
Alternatives and similar repositories for public
Users that are interested in public are comparing it to the libraries listed below
Sorting:
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆248Feb 5, 2025Updated last year
- Predictive yield curve modeling in reduced dimensionality☆43Feb 21, 2023Updated 3 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆111Oct 29, 2022Updated 3 years ago
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated last month
- Basic package for fitting yield-curves and other things.☆21Dec 18, 2020Updated 5 years ago
- Example for Interest Rate Modelling Lecture☆14Mar 29, 2025Updated 11 months ago
- Fixed income valuation with term structure models and Monte Carlo simulations: Pricing straight, floating and callable bonds, swaps, swap…☆11Mar 31, 2023Updated 2 years ago
- Capturar dados de curvas de juros (ettj) usadas no Brasil.☆16Feb 6, 2025Updated last year
- muRisQ Advisory: Interest Rate Models for Derivatives.☆16Oct 9, 2022Updated 3 years ago
- Valuation of Callable Bonds with short rate Hull-White model using: binomial trees, PDE with Green functions etc.☆14Jun 6, 2018Updated 7 years ago
- scraper anbima☆14Jun 30, 2025Updated 8 months ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆174Nov 18, 2018Updated 7 years ago
- Financial security modelling with Python and QuantLib☆34Apr 23, 2014Updated 11 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆37Aug 9, 2021Updated 4 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Dec 26, 2022Updated 3 years ago
- High-Performance Automatic Differentiation for Python☆19Sep 2, 2024Updated last year
- Yield curve Interpolation using cubic spline and nelson Seigel model☆16Jul 28, 2019Updated 6 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆54Aug 28, 2021Updated 4 years ago
- ☆20Dec 28, 2016Updated 9 years ago
- Univariate and multivariate time series forecasting, with uncertainty quantification (Python & R)☆13Dec 20, 2025Updated 2 months ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Jun 13, 2019Updated 6 years ago
- Equinox is an open source platform that supports the holistic risk management of sustainable finance projects☆49Feb 3, 2026Updated 3 weeks ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆19Mar 6, 2017Updated 8 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Jun 12, 2025Updated 8 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52May 13, 2020Updated 5 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆317Feb 23, 2026Updated last week
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆23Jan 20, 2022Updated 4 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆23Sep 3, 2024Updated last year
- Standardised Bloomberg Fixed Income Processing☆20Apr 1, 2020Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Oct 16, 2022Updated 3 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆27Jan 22, 2021Updated 5 years ago
- Hierarchical Risk Parity☆29Feb 26, 2020Updated 6 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆25Jan 26, 2019Updated 7 years ago
- Answers to the questions at the back of the chapters of Advances in Financial Machine Learning.☆23Apr 11, 2020Updated 5 years ago
- Implementation of ISDA SIMM v2.3~2.6☆26Jun 25, 2025Updated 8 months ago
- US Treasuries Yield Curve Data☆28Mar 12, 2022Updated 3 years ago
- A high-performance C++ orderbook engine with microsecond-level latency, supporting multiple ordertypes, price-time priority matching and …☆239Oct 23, 2025Updated 4 months ago
- This is the implementation for Hierarchical Risk Parity approach to portfolio optimization☆31Jan 13, 2020Updated 6 years ago