Pricing the Term Structure with Linear Regressions
☆44Feb 4, 2018Updated 8 years ago
Alternatives and similar repositories for PricingTermStructure
Users that are interested in PricingTermStructure are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Elements of Financial Risk Management in Python☆12Jan 10, 2021Updated 5 years ago
- Code and teaching material for the workshops at the RBA and RBNZ☆22Mar 12, 2017Updated 9 years ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆30May 16, 2016Updated 10 years ago
- Replication files for Safety, Liquidity, and the Natural Rate of Interest by Marco del Negro, Domenico Giannone, Marc Giannoni, and Andre…☆35Jul 17, 2024Updated last year
- Affine term structure modeling Python package. See LICENSE for terms of use.☆15Aug 29, 2016Updated 9 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆129Nov 2, 2023Updated 2 years ago
- ☆11Apr 19, 2021Updated 5 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆17May 29, 2022Updated 4 years ago
- Toolbox for "A Solution Method for Continuous-Time General Equilibrium Models"☆10Sep 20, 2021Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆41Feb 25, 2021Updated 5 years ago
- Affine Term-Structure Models: Theory and Implementation☆14Apr 6, 2020Updated 6 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆17Jul 28, 2019Updated 6 years ago
- A set of routines that solve models with occasionally binding constraints using Dynare☆10Apr 19, 2021Updated 5 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☆16Mar 21, 2021Updated 5 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- ☆13Apr 16, 2021Updated 5 years ago
- Introduction to Structural VAR models☆13Feb 21, 2020Updated 6 years ago
- Code Repository to Support QuantEcon Lecture Site☆54Aug 8, 2018Updated 7 years ago
- The major goal of this project is to predict financial re- cession given the frequencies of the top 500 word stems in the reports of fina…☆14Apr 21, 2015Updated 11 years ago
- Nowcasting☆232Sep 26, 2019Updated 6 years ago
- ☆17Jun 3, 2024Updated 2 years ago
- This repository contains a Matlab suite to implement the sup-t band and other popular simultaneous confidence bands in the environment de…☆22Aug 13, 2018Updated 7 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Dec 26, 2022Updated 3 years ago
- The R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets.…☆13Jun 1, 2015Updated 11 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆29Aug 23, 2022Updated 3 years ago
- R/C++ implementation of Bayes VAR models☆21Nov 12, 2019Updated 6 years ago
- ☆14Jun 4, 2016Updated 10 years ago
- This is a read-only mirror of the CRAN R package repository. dlm — Bayesian and Likelihood Analysis of Dynamic Linear Models☆10Sep 22, 2024Updated last year
- Automatic Differentiation Package for MATLAB☆47May 28, 2024Updated 2 years ago
- ☆17Mar 26, 2018Updated 8 years ago
- MATLAB code to replicate Koop and Korobilis (2014) A new index of financial conditions. European Economic Review☆23Jun 4, 2025Updated last year
- Estimating Option-Implied Probability Distributions for Equity Pricing☆11Aug 25, 2020Updated 5 years ago
- Contains data and documentation for paper: "Valuing Private Equity Investments Strip by Strip" with Arpit Gupta and Stijn Van Nieuwerburg…☆23Jul 19, 2021Updated 4 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Machine Learning for Factor Investing in Python☆11Nov 24, 2020Updated 5 years ago
- This code produces the results of the paper: Christian Bayer, Ralph Luetticke (2020). Solving heterogeneous agent models in discrete time…☆28Aug 14, 2020Updated 5 years ago
- Markov Switching Models for Statsmodels☆24Jun 21, 2016Updated 9 years ago
- Repository for simulation and estimation of CIR one factor model parameters☆12Mar 2, 2018Updated 8 years ago
- AqumenLib is AQumen's financial analytics SDK for pricing and risk.☆20Mar 23, 2025Updated last year
- Codes for for Bayesian Local Projections & Bayesian Direct Forecasts☆17Jun 19, 2023Updated 2 years ago
- Python app for black-litterman portfolio optimisation☆10Dec 8, 2022Updated 3 years ago