max-fitzpatrick / bond_pricerLinks
Python class and jupyter iPython notebook for pricing a fixed coupon bond
☆25Updated 7 years ago
Alternatives and similar repositories for bond_pricer
Users that are interested in bond_pricer are comparing it to the libraries listed below
Sorting:
- By means of stochastic volatility models☆44Updated 5 years ago
- Quantamental finance research with python☆154Updated 3 years ago
- Development space for PhD in Finance☆34Updated 5 years ago
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated 2 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
- Yield curve Interpolation using cubic spline and nelson Seigel model☆16Updated 6 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆123Updated 2 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆31Updated 5 years ago
- Python tools to quantitatively manage financial risk☆69Updated 6 years ago
- Portfolio optimization with cvxopt☆40Updated last month
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆33Updated 5 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆124Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆17Updated 3 weeks ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆52Updated 4 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆43Updated 5 years ago
- Teaching Resources for Cuemacro courses☆55Updated 9 months ago
- Risk tools for commodities trading and finance☆37Updated 3 weeks ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆135Updated 4 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆173Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆119Updated 6 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆44Updated 7 years ago
- Implementation with a Jupyter Notebook of the VIX index modelization provided in its CBOE white paper.☆23Updated 6 years ago
- Python code for pricing European and American options with examples for individual stock, index, and FX options denominated in USD and Eu…☆29Updated this week
- Python implementation of a sample covariance matrix shrinkage experiment☆32Updated 12 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Repository for teachings on Quant Finance☆50Updated 6 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆49Updated 4 years ago