daniel-m-campos / fixed-incomeLinks
Basic package for fitting yield-curves and other things.
☆21Updated 4 years ago
Alternatives and similar repositories for fixed-income
Users that are interested in fixed-income are comparing it to the libraries listed below
Sorting:
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆36Updated 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
- ☆18Updated 7 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆19Updated 8 years ago
- Machine Learning for Factor Investing in Python☆10Updated 4 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆101Updated 3 years ago
- SOFR curve bootstrapping☆27Updated 5 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Updated 5 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆44Updated 6 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆92Updated 4 years ago
- Python Code for Quantitative Finance Papers☆42Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Pricing and greeks simulation of an autocallable structure by monte carlo and pyspark☆15Updated 5 years ago
- ☆24Updated 5 years ago
- ☆19Updated 3 years ago
- Fixed-Income-Quant-Trading Projects☆15Updated 7 years 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
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆65Updated 6 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆49Updated 4 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆83Updated last year
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago