harshhacks / quantparadise
Interest-rate modeling and Fixed Income Pricing in Python
☆11Updated 4 years ago
Alternatives and similar repositories for quantparadise:
Users that are interested in quantparadise are comparing it to the libraries listed below
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆18Updated 8 years ago
- Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.☆12Updated 11 months ago
- A python library for modeling and analyzing fixed income securities☆10Updated 2 months ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆14Updated last year
- Fixed income related calculations in Python☆20Updated 3 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆29Updated 3 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 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
- ☆58Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- modeling FICC market with QuantLib☆20Updated 2 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆46Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 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
- 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
- Dispersion Trading using Options☆32Updated 8 years ago
- ☆24Updated 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
- SOFR curve bootstrapping☆24Updated 4 years ago
- Using a dataset of hedge fund indices, I had computed various risk parameters, explicitly Value at risk (VaR), drawdown and deviation fro…☆22Updated 4 years ago
- Currency Binary Option Pricing with 3 methods and implied smile☆25Updated 6 years ago
- 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
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆27Updated 5 years ago
- Basic package for fitting yield-curves and other things.☆19Updated 4 years ago
- Get discount factors and zero rates from interest rate swaps☆11Updated 7 years ago
- ☆17Updated 7 years ago
- Monte Carlo option pricing algorithms for vanilla and exotic options☆25Updated 4 years ago
- applications for risk management through computational portfolio construction methods☆40Updated 4 years ago