Predictive yield curve modeling in reduced dimensionality
☆45Feb 21, 2023Updated 3 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Jan 5, 2020Updated 6 years ago
- A B-Spline approach to modelling the term structure of interest rate swaps.☆11Apr 10, 2020Updated 6 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Dec 26, 2022Updated 3 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Jun 12, 2025Updated last year
- SOFR curve construction methods calibrated to swap rates with advanced smoothing techniques for reliable pricing and risk analytics.☆12Jul 4, 2026Updated 4 months 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.
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆17May 26, 2017Updated 9 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆19Feb 1, 2020Updated 6 years ago
- NYU FRE-GY 6971 Fixed Income Quant Trading☆11Jan 7, 2019Updated 7 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆15Mar 11, 2019Updated 7 years ago
- Basic package for fitting yield-curves and other things.☆21Dec 18, 2020Updated 5 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆43Aug 9, 2021Updated 5 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆23Sep 3, 2024Updated 2 years ago
- This repository contains accompanying code for the CFA Institute's Research and Policy Center 'Synthetic Data in Investment Management' r…☆19Jul 28, 2025Updated last year
- Yield curve Interpolation using cubic spline and nelson Seigel model☆17Jul 28, 2019Updated 7 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- 大类资产配置☆12Jun 3, 2021Updated 5 years ago
- Get discount factors and zero rates from interest rate swaps☆11Mar 1, 2018Updated 8 years ago
- Fixed income related calculations in Python☆21Apr 24, 2021Updated 5 years ago
- PYBOR is multi-curve interest rate framework and risk engine based on multivariate optimization techniques, written in Python☆42Jun 16, 2024Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆129Nov 2, 2023Updated 3 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆86Aug 11, 2026Updated 2 months ago
- Collection of Jane Street Puzzles that I have gone back to solve☆13Mar 1, 2026Updated 8 months ago
- ☆33Nov 23, 2022Updated 3 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
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆24Jan 16, 2018Updated 8 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 3 years ago
- ☆15Sep 16, 2022Updated 4 years ago
- SOFR curve bootstrapping☆28Jul 17, 2020Updated 6 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆35Dec 5, 2022Updated 3 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- Cryptocurrencies algorithmic trading strategies☆12Nov 20, 2018Updated 7 years ago
- ☆10Nov 6, 2018Updated 8 years ago
- Implementation of multi-output conformal regression methods☆13Sep 23, 2025Updated last year
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- System which logs and analyzes arxiv reading activity, using github as a serverless database and processing runtime☆14Jun 3, 2025Updated last year
- Replication code for "A Model of the Fed's View on Inflation".☆10Jul 30, 2022Updated 4 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Nov 21, 2021Updated 4 years ago
- 一个简单的爬虫,抓取中国人民银行官网货币政策司的公开市场业务交易公告。☆12Aug 30, 2020Updated 6 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆34Jul 28, 2020Updated 6 years ago
- A python package that brings together financial and economic data.☆26Aug 24, 2022Updated 4 years ago
- Code for "A point-based Bayesian hierarchical model to predict the outcome of tennis matches"☆13Apr 2, 2020Updated 6 years ago