Code repository for Pricing and Trading Interest Rate Derivatives
☆123Oct 29, 2022Updated 3 years ago
Alternatives and similar repositories for book_irds3
Users that are interested in book_irds3 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 fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆347May 20, 2026Updated last month
- A Python based implementation of swap curve bootstrapping using a multi-dimensional solver.☆11Aug 17, 2025Updated 10 months ago
- A lean package to estimate financial asset betas☆14Feb 12, 2023Updated 3 years ago
- SOFR curve bootstrapping☆28Jul 17, 2020Updated 5 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆84Jun 12, 2026Updated 2 weeks 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.
- ☆273Mar 1, 2024Updated 2 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆261Feb 5, 2025Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆223Apr 7, 2026Updated 2 months ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 4 years ago
- High performance hybrid Monte Carlo simulation☆10Jun 3, 2026Updated 3 weeks ago
- Numerical Methods Lecture: This repository contains the material created during the lecture Numerical Methods for Mathematical Finance.☆55Jun 18, 2026Updated last week
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆24Jan 30, 2019Updated 7 years ago
- muRisQ Advisory: Interest Rate Models for Derivatives.☆16Oct 9, 2022Updated 3 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 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.
- Fixed-Income-Quant-Trading Projects☆16Jul 21, 2018Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 3 months ago
- Get discount factors and zero rates from interest rate swaps☆11Mar 1, 2018Updated 8 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆22Aug 20, 2024Updated last year
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆129Nov 2, 2023Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆131Jun 9, 2026Updated 3 weeks ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- Julia package for the book "Applied Quantitative Finance for Equity Derivatives"☆50Jun 18, 2025Updated last year
- 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.
- This collects the scripts and notebooks required to reproduce my published work.☆50Jun 24, 2026Updated last week
- Momentum Trading Assistant (MTA) is a python program designed to replace a Momentum Trader using the Interactive Brokers Trader Workstati…☆12Jan 12, 2026Updated 5 months ago
- A constant proportion portfolio insurance (CPPI) trading algorithm on top of Alpaca's Trading API.☆13Jul 28, 2021Updated 4 years ago
- ☆23Apr 1, 2022Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆143Feb 27, 2025Updated last year
- ☆11Oct 6, 2020Updated 5 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Dec 26, 2022Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆127Jan 10, 2024Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆19Updated this week
- 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.
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 2 years ago
- Docker image build for backtrader running on Jupyter Notebook / Anaconda 3 / Python 3☆13Oct 22, 2020Updated 5 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- Interest-rate modeling and Fixed Income Pricing in Python☆12Dec 23, 2020Updated 5 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- Here you will find materials for the course of Computational Finance☆565Mar 1, 2024Updated 2 years ago