max-fitzpatrick / bond_pricerLinks
Python class and jupyter iPython notebook for pricing a fixed coupon bond
☆24Updated 6 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:
- Quantamental finance research with python☆153Updated 3 years ago
- Python-based portfolio / stock widget which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics…☆121Updated 4 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- This repository contains supporting examples which are referenced from posts published on www.quantandfinancial.com☆134Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 6 years ago
- Development space for PhD in Finance☆33Updated 5 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
- Library for simulation and analysis of vanilla and exotic options☆34Updated 5 years ago
- Repository for teachings on Quant Finance☆50Updated 5 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆47Updated 4 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆166Updated 6 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- ☆35Updated 7 years ago
- ☆41Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Python tools to quantitatively manage financial risk☆69Updated 5 years ago
- ☆38Updated 3 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆124Updated last year
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- A fundamental equity risk model that decomposes the risk of a portfolio by factors and individual securities☆43Updated 7 years ago
- A tool for combining historical data with user-provided forecasts to produce Kelly optimal portfolio allocations☆86Updated 3 months ago
- ☆65Updated 2 years ago
- Portfolio optimization with cvxopt☆40Updated 9 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆32Updated last year
- Teaching Resources for Cuemacro courses☆55Updated 6 months ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆58Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆140Updated 2 years ago
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆26Updated 4 years ago