miabrahams / PricingTermStructureLinks
Pricing the Term Structure with Linear Regressions
☆38Updated 7 years ago
Alternatives and similar repositories for PricingTermStructure
Users that are interested in PricingTermStructure are comparing it to the libraries listed below
Sorting:
- Financial research data services for academics.☆95Updated 5 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 9 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago
- ☆105Updated 3 years ago
- Example code of simple things one can do with our open-source asset pricing data☆52Updated 10 months ago
- ☆71Updated 2 years ago
- Calculate U.S. equity (portfolio) characteristics☆92Updated 11 months ago
- Covariance Matrix Estimation via Factor Models☆35Updated 6 years ago
- Python package designed to construct and replicate datasets from Ken French's online library by accessing WRDS remotely through its cloud…☆39Updated last month
- Empirical Data and Some Simulation Codes☆102Updated 6 years ago
- Replication of https://ssrn.com/abstract=3984925☆39Updated last year
- ☆49Updated this week
- Code that I show on my YouTube Channel☆100Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆120Updated last year
- Replication of key GARCH model papers☆35Updated 9 years ago
- Replication of momentum strategy☆18Updated 3 years ago
- qmoms package to compute option-implied moments from surface data☆21Updated last year
- Instrumented Principal Components Analysis☆228Updated 2 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆24Updated 3 years ago
- A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights an American options.☆43Updated last year
- Affine Term-Structure Models: Theory and Implementation☆13Updated 5 years ago
- Composite Indicators Framework for Business Cycle Analysis☆60Updated 3 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆39Updated 4 years ago
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138☆133Updated 3 years ago
- ☆23Updated 7 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
- Reimplementing QuantLib examples by Python☆64Updated 2 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆161Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- SOFR curve bootstrapping☆26Updated 4 years ago