bernhard-pfann / pca-yield-curve-analyticsLinks
Predictive yield curve modeling in reduced dimensionality
☆43Updated 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:
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 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
- Quant Research☆78Updated 2 months ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆80Updated 9 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- Web Repository☆9Updated 3 years ago
- SOFR curve bootstrapping☆26Updated 4 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- ☆45Updated last year
- 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
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆85Updated 2 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆42Updated 3 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months ago
- Implements different approaches to tactical and strategic asset allocation☆34Updated 5 months ago
- Python Code for Quantitative Finance Papers☆39Updated 8 months ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆26Updated last week
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆87Updated 4 years ago
- Single and Multi Factor Libor Market Model with Monte Carlo simulations to price a swaption receiver and a zcb option☆12Updated 5 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆30Updated 3 years ago
- ☆29Updated 2 years ago
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago