Master's degree dissertation: Yield Curve Modeling with Principal component analysis.
☆24Jun 12, 2025Updated 11 months ago
Alternatives and similar repositories for pca-yield-curve-modelling
Users that are interested in pca-yield-curve-modelling are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Fixed income related calculations in Python☆21Apr 24, 2021Updated 5 years ago
- API Client for US Treasury Fiscal Data☆10Jan 28, 2024Updated 2 years ago
- A B-Spline approach to modelling the term structure of interest rate swaps.☆11Apr 10, 2020Updated 6 years ago
- I analyze the interplay of three U.S. time series: unemployment, inflation and gross domestic product. The first cleans the data and inve…☆10Nov 1, 2019Updated 6 years ago
- Feature Engineering and Predictive Modeling for Financial Time Series Data☆13Aug 4, 2020Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆22Jan 30, 2019Updated 7 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆40Aug 9, 2021Updated 4 years ago
- Economics and Pricing in R☆63May 11, 2026Updated 2 weeks ago
- Sparse regression of mixed-frequency VectorAutoregressions☆10May 11, 2022Updated 4 years ago
- Fast Risks with QuantLib in Python☆20Apr 2, 2026Updated last month
- ☆14Oct 10, 2024Updated last year
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆55Aug 28, 2021Updated 4 years ago
- OItool helps you to analyze future and option data. It uses Grafana for visualization and Influxfb for the database to store data.☆20Aug 26, 2021Updated 4 years ago
- Tidymodels for Nested/Panel Data☆13Sep 30, 2023Updated 2 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.
- Statistical tests for Value at Risk (VaR) Models.☆16Mar 21, 2026Updated 2 months ago
- ggplot2 Functions to Create Tufte Style Sparklines☆13May 13, 2024Updated 2 years ago
- Supporting data package for the Portfolio Optimization Book☆26Feb 17, 2025Updated last year
- Magical string interpolation☆17Apr 18, 2025Updated last year
- ☆12Apr 22, 2026Updated last month
- R package to download Prof. Kenneth French data sets☆14Mar 22, 2024Updated 2 years ago
- ☆32Mar 6, 2024Updated 2 years ago
- State-Dependent Empirical Analysis: tools for state-dependent forecasts, impulse response functions, historical decomposition, and foreca…☆16Nov 7, 2022Updated 3 years ago
- R Based Data Science Training Delivered to the Ugandan Ministry of Finance and Bureau of Statistics☆11Aug 18, 2021Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆22Sep 3, 2024Updated last year
- ☆11Nov 18, 2024Updated last year
- Time varying vector autoregressive state space modeling of community interactions in a Bayesian framework☆12Oct 4, 2021Updated 4 years ago
- ggplot2 extension for seasonal and trading day adjustment with RJDemetra☆12Jun 25, 2025Updated 11 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆129Nov 2, 2023Updated 2 years ago
- ☆23May 3, 2022Updated 4 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Mar 20, 2026Updated 2 months ago
- A time series toolbox for official statistics☆14Sep 11, 2025Updated 8 months ago
- Bank of England Chart Themes and Styles for 'ggplot2'☆13May 8, 2024Updated 2 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- High Frequency Market Making: Optimal Quoting☆17Mar 20, 2023Updated 3 years ago
- R package that helps to retrieve time series data from Banco de España☆12Updated this week
- Tidy notes I took from Dave Robinson's screencasts #TidyTuesday☆25Jun 1, 2022Updated 3 years ago
- TVP-QR model with time-varying scale parameter, proposed in "Modeling tail risks of inflation using unobserved component quantile regress…☆11Jul 18, 2022Updated 3 years ago
- Two-Steps Benchmarks for Time Series Disaggregation (French Quarterly National Accounts methodology)☆11Oct 20, 2025Updated 7 months ago
- The course, authored by Prof. Jerzy in NYU, applies the R programming language to momentum trading, statistical arbitrage (pairs trading) …☆13Aug 19, 2018Updated 7 years ago
- Delayed Evaluation With tidyverse Verbs☆16Sep 3, 2023Updated 2 years ago