QuhiQuhihi / project_FICC_QuantView external linksLinks
modeling FICC market with QuantLib
☆22Nov 16, 2022Updated 3 years ago
Alternatives and similar repositories for project_FICC_Quant
Users that are interested in project_FICC_Quant are comparing it to the libraries listed below
Sorting:
- Note for quant research, for study☆11Mar 28, 2022Updated 3 years ago
- quantitative asset allocation strategy☆36Jan 19, 2025Updated last year
- detecting regime of financial market☆45Sep 30, 2022Updated 3 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆19Mar 6, 2017Updated 8 years ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆14Dec 2, 2023Updated 2 years ago
- Example for Interest Rate Modelling Lecture☆14Mar 29, 2025Updated 10 months ago
- ☆12Apr 17, 2021Updated 4 years ago
- Solutions to machine learning HW from bloomberg ml course☆11Jun 23, 2019Updated 6 years ago
- Get discount factors and zero rates from interest rate swaps☆11Mar 1, 2018Updated 7 years ago
- Fully automated trading system, strategy based on Kalman filter☆13May 7, 2018Updated 7 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Sep 22, 2024Updated last year
- KAIST(Korea Advanced Institute of Science and Technology) Financial Engineering( Derivatives) Course Code+@☆27Apr 22, 2022Updated 3 years ago
- ☆14Apr 1, 2019Updated 6 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆16Feb 1, 2020Updated 6 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- Calculate futures contango rolldown for popular 30 day avg maturity VIX ETFs such as SVXY and XIV☆14Jun 12, 2023Updated 2 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- Fixed-Income-Quant-Trading Projects☆15Jul 21, 2018Updated 7 years ago
- Option Strategy for Futures☆17Jul 29, 2020Updated 5 years ago
- Moody's Bond Rating Classifier and USPHCI Economic Activity Forecast Modeling☆19Jun 13, 2019Updated 6 years ago
- Pairs Trading with Alpaca - created on behalf of AlgoTrading101.com for alpaca.markets/learn☆17Dec 8, 2020Updated 5 years ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- A Practical Application of Hidden Markov Model to Kalman Filter-Based Pairs Trading☆19May 4, 2021Updated 4 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Oct 10, 2020Updated 5 years ago
- ☆16Nov 16, 2016Updated 9 years 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
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated last month
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆23Jan 20, 2022Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Gamma Scalping Trading Strategies☆24May 7, 2016Updated 9 years ago
- ☆24Jan 26, 2020Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Dec 9, 2017Updated 8 years ago
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆22Jan 30, 2019Updated 7 years ago
- ☆24Sep 19, 2021Updated 4 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- ☆24Dec 7, 2022Updated 3 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆173Nov 18, 2018Updated 7 years ago
- SOFR curve bootstrapping☆26Jul 17, 2020Updated 5 years ago