OpenSourceRisk / ORE-SWIGLinks
☆50Updated 11 months ago
Alternatives and similar repositories for ORE-SWIG
Users that are interested in ORE-SWIG are comparing it to the libraries listed below
Sorting:
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆159Updated 6 years ago
- Documentation for QuantLib-Python☆109Updated 10 months ago
- Reimplementing QuantLib examples by Python☆63Updated 2 years ago
- Quant Research☆78Updated 2 months ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆40Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆160Updated last week
- Code repository for Pricing and Trading Interest Rate Derivatives☆86Updated 2 years ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 5 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆80Updated 9 months ago
- Macrosynergy Quant Research☆137Updated this week
- By means of stochastic volatility models☆44Updated 5 years ago
- Financial security modelling with Python and QuantLib☆33Updated 11 years ago
- Listed Volatility and Variance Derivatives (Wiley Finance)☆146Updated 3 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆232Updated 4 months ago
- Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics☆124Updated this week
- Repo for code examples in Quantitative Finance with Python by Chris Kelliher☆130Updated last year
- Performance Anayltics for Investment Portfolios☆48Updated 5 years ago
- ☆41Updated 10 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆13Updated 2 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- ☆45Updated last year
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆182Updated 3 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆132Updated 6 months ago
- ☆58Updated 10 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆115Updated 4 months ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆41Updated 11 months ago