gandhis1 / mbs-analytics
Cash flow and analytics engine for mortgage-backed securities (MBS)
☆11Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for mbs-analytics
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆25Updated 3 years ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 4 years ago
- ☆15Updated 6 years ago
- ScriptUni Python in Finance Certificate Final Project☆34Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- Extract and visualize implied volatility from option chain data☆31Updated 4 months ago
- By means of stochastic volatility models☆41Updated 4 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆23Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆43Updated 6 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆38Updated 3 years ago
- Parametrisation of vol surface using Gatheral's SVI methodology and valuation of American options using Kim integral equations☆27Updated 3 years ago
- ☆53Updated 6 years ago
- Python utility automation scripts for Barchart.com☆26Updated 2 weeks ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆14Updated 5 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆76Updated 3 months ago
- Simple portfolio analysis and management.☆27Updated 3 years ago
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- ☆24Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆91Updated 2 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆60Updated 4 years ago
- My Quant Research Papers (incl. Coding & Excel Examples)☆104Updated this week
- Code repository for Pricing and Trading Interest Rate Derivatives☆59Updated 2 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆44Updated 3 years ago
- SOFR curve bootstrapping☆21Updated 4 years ago
- Reimplementing QuantLib examples by Python☆57Updated 2 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆19Updated 4 years ago
- Python tools to quantitatively manage financial risk☆65Updated 5 years ago
- Python Code for Option Analysis☆43Updated 5 years ago
- Vanilla option pricing and visualisation using Black-Scholes model in pure Python☆124Updated 2 years ago