bernhard-pfann / pca-yield-curve-analyticsLinks
Predictive yield curve modeling in reduced dimensionality
☆45Updated 2 years ago
Alternatives and similar repositories for pca-yield-curve-analytics
Users that are interested in pca-yield-curve-analytics are comparing it to the libraries listed below
Sorting:
- Quant Research☆90Updated last month
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 6 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆52Updated 5 years ago
- Implements different approaches to tactical and strategic asset allocation☆40Updated 10 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated last year
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- SOFR curve bootstrapping☆27Updated 5 years ago
- Algorithmic Trading project that examines the Fama-French 3-Factor Model and the Fama-French 5-Factor Model in predicting portfolio retur…☆30Updated 4 years ago
- A B-Spline approach to modelling the term structure of interest rate swaps.☆11Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Quantamental finance research with python☆153Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆119Updated last week
- Code repository for Pricing and Trading Interest Rate Derivatives☆101Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆92Updated 7 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆122Updated 7 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Updated 5 years ago
- ☆25Updated 7 months ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- ☆47Updated 2 years ago
- Python library for asset pricing☆117Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Macrosynergy Quant Research☆159Updated last week
- Python Code for Quantitative Finance Papers☆41Updated last year