daniel-m-campos / fixed-income
Basic package for fitting yield-curves and other things.
☆19Updated 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
- ☆17Updated 7 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆18Updated 8 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 5 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆12Updated 2 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆79Updated 8 months ago
- Interest-rate modeling and Fixed Income Pricing in Python☆11Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆24Updated 6 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆19Updated 3 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆17Updated 5 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- SOFR curve bootstrapping☆25Updated 4 years ago
- Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.☆12Updated last year
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆85Updated 4 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆17Updated 5 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆28Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Advanced Risk and Portfolio Management Resources☆26Updated 5 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆40Updated 7 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- Notes and code fragments of CQF lectures.☆16Updated 2 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆43Updated 5 years ago