luphord / nelson_siegel_svenssonView external linksLinks
Implementation of the Nelson-Siegel-Svensson interest rate curve model.
☆125Nov 2, 2023Updated 2 years ago
Alternatives and similar repositories for nelson_siegel_svensson
Users that are interested in nelson_siegel_svensson are comparing it to the libraries listed below
Sorting:
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Dec 26, 2022Updated 3 years ago
- Pricing the Term Structure with Linear Regressions☆43Feb 4, 2018Updated 8 years ago
- Python Package: Fitting and Forecasting the yield curve☆39Feb 25, 2021Updated 4 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆27May 16, 2016Updated 9 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆14Aug 28, 2022Updated 3 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆17Mar 24, 2024Updated last year
- High-Performance Automatic Differentiation for Python☆19Sep 2, 2024Updated last year
- Risk_Parity strategy 风险平价☆32May 1, 2020Updated 5 years ago
- SOFR curve bootstrapping☆26Jul 17, 2020Updated 5 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 5 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆54Aug 28, 2021Updated 4 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Jun 12, 2025Updated 8 months ago
- Factor Investing Library☆28Nov 12, 2022Updated 3 years ago
- A B-Spline approach to modelling the term structure of interest rate swaps.☆11Apr 10, 2020Updated 5 years ago
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated last month
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Jan 5, 2020Updated 6 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆44Nov 2, 2023Updated 2 years ago
- Rebalancing a portfolio with optimal buy/sell decisions using Metaheuristics☆13Mar 11, 2021Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆36Dec 5, 2022Updated 3 years ago
- Statistical tests for Value at Risk (VaR) Models.☆15Nov 16, 2025Updated 3 months ago
- Get discount factors and zero rates from interest rate swaps☆11Mar 1, 2018Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Feb 21, 2023Updated 2 years ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆109Oct 29, 2022Updated 3 years ago
- Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model☆15Mar 21, 2021Updated 4 years ago
- Economic indicators using Python and APIs☆16May 11, 2023Updated 2 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Aug 21, 2018Updated 7 years ago
- Documentation for QuantLib-Python☆116Dec 29, 2025Updated last month
- Order Imbalance Trading Simulation R Code☆16Sep 9, 2019Updated 6 years ago
- The notebook with the experiments to replicate and enhance the stock clustering proposed by Han(2022) for alogtrading, with KMeans Optimi…☆22Mar 7, 2024Updated last year
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆2,771Jan 27, 2026Updated 3 weeks ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆36Aug 9, 2021Updated 4 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆23Sep 3, 2024Updated last year
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- ☆36Mar 28, 2023Updated 2 years ago
- Fast and scalable construction of risk parity portfolios☆317Dec 2, 2025Updated 2 months ago
- Standardised Bloomberg Fixed Income Processing☆20Apr 1, 2020Updated 5 years ago
- Design your own Trading Strategy☆38Feb 25, 2024Updated last year
- Covariance Matrix Estimation via Factor Models☆38Mar 25, 2019Updated 6 years ago