PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.
☆55Aug 28, 2021Updated 5 years ago
Alternatives and similar repositories for PyCurve
Users that are interested in PyCurve are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- A B-Spline approach to modelling the term structure of interest rate swaps.☆11Apr 10, 2020Updated 6 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆19Sep 29, 2026Updated last week
- SOFR curve bootstrapping☆28Jul 17, 2020Updated 6 years ago
- Fast Risks with QuantLib in Python☆22Apr 2, 2026Updated 6 months ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆15Aug 28, 2022Updated 4 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆129Nov 2, 2023Updated 2 years ago
- ☆16Dec 16, 2022Updated 3 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆126Oct 29, 2022Updated 3 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Jun 12, 2025Updated last year
- Fixed income related calculations in Python☆21Apr 24, 2021Updated 5 years ago
- High-Performance Automatic Differentiation for Python☆21Apr 2, 2026Updated 6 months ago
- AqumenLib is AQumen's financial analytics SDK for pricing and risk.☆20Mar 23, 2025Updated last year
- Momentum Trading Assistant (MTA) is a python program designed to replace a Momentum Trader using the Interactive Brokers Trader Workstati…☆12Jan 12, 2026Updated 8 months ago
- Python Package: Fitting and Forecasting the yield curve☆45Feb 25, 2021Updated 5 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.
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17May 29, 2022Updated 4 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆22Sep 3, 2024Updated 2 years ago
- ☆13Mar 17, 2025Updated last year
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆17May 26, 2017Updated 9 years ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆365May 20, 2026Updated 4 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆17Jul 3, 2021Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Feb 21, 2023Updated 3 years ago
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆24Jan 30, 2019Updated 7 years ago
- Feature Engineering and Predictive Modeling for Financial Time Series Data☆12Aug 4, 2020Updated 6 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- A bot for an algorithmic trading competition that trades options using statistical arbitrage and delta and vega hedging☆12Jan 27, 2018Updated 8 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Dec 26, 2022Updated 3 years ago
- Implement ARIMA and ARFIMA to forecast returns☆16Jun 2, 2020Updated 6 years ago
- A streamlined take on the original Cox, Ross and Rubinstein method.☆15Mar 20, 2017Updated 9 years ago
- Monte Carlo option pricing algorithms for vanilla and exotic options☆26Jul 18, 2020Updated 6 years ago
- One factor Vasicek model in Python.☆12Updated this week
- Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo☆10Jun 11, 2019Updated 7 years ago
- Resources for Quantitative Finance☆18Apr 14, 2023Updated 3 years ago
- Trading strategy backtesting framework supporting multiple concurrent sessions, complex exit strategies, and multi-exchange data sources …☆19Aug 17, 2025Updated last year
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- US Treasuries Yield Curve Data