some interest rate models such as Vasicek and dynamic Nelson-Siegel model
☆20May 26, 2020Updated 6 years ago
Alternatives and similar repositories for fix-income-quant-trading
Users that are interested in fix-income-quant-trading are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Dynamic Nelson Siegel Model☆14Mar 6, 2019Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆45Feb 25, 2021Updated 5 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…☆12Mar 4, 2021Updated 5 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆54May 13, 2020Updated 6 years ago
- Constrainted optimization algorithms in python including linear conjugate gradient, log barrier, primal-dual interior-point methods☆12Jul 7, 2019Updated 7 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Financial risk analysis on a stocks portfolio through the VaR (Value at Risk), using Monte Carlo Simulation and Multiple Linear Regressio…☆21Nov 3, 2020Updated 6 years ago
- Risk_Parity strategy 风险平价☆32May 1, 2020Updated 6 years ago
- High performance database configuration suitable for read-only workloads☆11Jun 28, 2022Updated 4 years ago
- Python Nowcasting☆135Jul 25, 2026Updated 3 months ago
- Hull-White 1/2 Factor Dynamics☆15Aug 20, 2022Updated 4 years ago
- 计算中国偏度指数(CBOE skew index)☆15May 23, 2021Updated 5 years ago
- Code (Jupyter Notebooks) for Coursera - Machine Learning and Reinforcement Learning in Finance Specialization☆12Aug 4, 2019Updated 7 years ago
- Stock database schema based on pony.orm with an update, sync, and create features.☆17Jan 29, 2025Updated last year
- A Streamlit based application to predict future Stock Price and pipeline to let anyone train their own multiple Machine Learning models o…☆97Aug 12, 2024Updated 2 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- One factor Vasicek model in Python.☆12Oct 5, 2026Updated last month
- A bot that sends telegram notification on activity made by a wallet☆11Dec 5, 2023Updated 2 years ago
- The Value at Risk (VaR) calculation, Python version☆10Nov 1, 2019Updated 7 years ago
- Uses an LSTM to predict the next days stock movement based on sequence of previous days☆13Mar 9, 2021Updated 5 years ago
- 基于vnpy1.73的CTA策略☆10May 1, 2018Updated 8 years ago
- An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)☆19Jan 8, 2023Updated 3 years ago
- A dynamic factor model to forecasts inflation, i.e. CPI, PPI. WindAPI is required to extract vintages.☆17Jan 1, 2021Updated 5 years ago
- Python code for rolling Value at Risk(VaR) of fiancial assets and some of economic time series, based on the procedure proposed by Hull &…☆13Oct 21, 2021Updated 5 years ago
- ☆14Apr 1, 2019Updated 7 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis☆12May 12, 2020Updated 6 years ago
- Python implementation for regime-dependent portfolio optimization☆17Oct 14, 2023Updated 3 years ago
- pix2pix-tensorflow☆13Jul 29, 2018Updated 8 years ago
- Using three approaches to calculate Value at Risk and Conditional Value at Risk of a portfolio of assets.☆13Apr 24, 2020Updated 6 years ago
- Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python☆13Apr 12, 2023Updated 3 years ago
- This repository contains the codes for the paper "Machine-Learning-enhanced Systemic Risk Measure: A Two-Step Supervised Learning Approac…☆13Jul 18, 2022Updated 4 years ago
- 1th: Kaggle Jane Street Market Prediction: AE MLP+xgb☆51Jan 19, 2022Updated 4 years ago
- Architectural Pattern Recognition using Convolutional Neural Networks☆22Sep 6, 2021Updated 5 years ago
- Stock risk premium prediction via FM/ EXT/ GBDT/ XGB/LBGM. Mengxuan Chen's graduation thesis at WHU.☆15Dec 15, 2019Updated 6 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- ☆11Dec 18, 2015Updated 10 years ago
- Option pricing using Black-Scholes model, Bachelier model, Binomial Trees and Monte Carlo simulation under different stochastic processes☆21Jul 24, 2022Updated 4 years ago
- DCA analysis on the s&p 500☆24Jan 22, 2026Updated 9 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆129Nov 2, 2023Updated 3 years ago
- Using K-Means algorithm for customer segmentation due to credit card behavior☆21Jun 14, 2021Updated 5 years ago
- A library to calculate the geopolitical supply risk of a resource to an economic unit for a particular year or period.☆20Jul 27, 2026Updated 3 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Sep 18, 2021Updated 5 years ago
Are these results useful?