nburgessx / SwapsBook
Low Latency Interest Rate Markets – Theory, Pricing and Practice
☆202Updated last month
Alternatives and similar repositories for SwapsBook:
Users that are interested in SwapsBook are comparing it to the libraries listed below
- Quant Research☆69Updated last week
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆154Updated 2 months ago
- ☆214Updated last year
- My Quant Research Papers (incl. Coding & Excel Examples)☆110Updated 2 weeks ago
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆77Updated 7 months ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆194Updated this week
- SABR model Python implementation☆491Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆96Updated 2 months ago
- ☆135Updated last year
- HFT signals on GDAX☆91Updated 7 years ago
- Algo Trading Research & Documentation☆17Updated 9 months ago
- ☆221Updated last year
- Robust and flexible Python implementation of the willow tree lattice for derivatives pricing.☆265Updated 6 years ago
- Macrosynergy Quant Research☆118Updated this week
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆180Updated 4 months ago
- Applications of Monte Carlo methods to financial engineering projects, in Python.☆402Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- ☆45Updated last year
- Examples using pysystemtrade for my blog qoppac.blogspot.com☆231Updated 7 years ago
- Quantamental finance research with python☆145Updated 2 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆251Updated last week
- Portfolio Construction and Risk Management book's Python code.☆83Updated last month
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆291Updated last week
- Goldman Sachs - Quantitative Strategies Research Notes☆334Updated 4 years ago
- A Python library for mathematical finance☆429Updated last year
- volatility arbitrage in Heston model☆44Updated 2 months ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆70Updated 2 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆149Updated 9 months ago
- Examples of code related to book www.systematictrading.org and blog qoppac.blogspot.com☆417Updated 4 years ago
- A collection of homeworks of market microstructure models.☆223Updated 6 years ago