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:
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆37Updated 3 years ago
- Portfolio optimization with cvxopt☆38Updated 4 months ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Quantitative Finance using python - Derivatives Pricing☆44Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.☆57Updated last year
- Library for simulation and analysis of vanilla and exotic options☆33Updated 5 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆28Updated 5 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Updated last year
- Python tools to quantitatively manage financial risk☆66Updated 5 years ago
- Jupyter notebooks on portfolio construction and analysis - EDHEC☆43Updated 5 years ago
- Standardised Bloomberg Fixed Income Processing☆20Updated 5 years ago
- • Conducted a volatility study to develop pairs trading strategy by writing web crawlers that automated extracting 30 equity and ETF spot…☆47Updated 4 years ago
- Teaching Resources for Cuemacro courses☆53Updated last month
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆65Updated 5 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆21Updated 4 years ago
- Repository for teachings on Quant Finance☆49Updated 5 years ago
- Quant Research☆78Updated 2 months ago
- ☆24Updated 6 years ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆80Updated 9 months ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 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
- Package based on the work of Dr Marcos Lopez de Prado regarding his research with respect to Advances in Financial Machine Learning☆33Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆64Updated 2 years ago