open-risk / scenarioGenerator
A python library for generating macro-economic scenarios
☆10Updated 4 months ago
Alternatives and similar repositories for scenarioGenerator:
Users that are interested in scenarioGenerator are comparing it to the libraries listed below
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆29Updated last year
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆40Updated 3 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Source code for Multicriteria Portfolio Construction with Python☆30Updated 3 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆51Updated 4 years ago
- Time Value of Money - a Python package for mathematical interest theory, annuity, and bond calculations.☆31Updated 3 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- Python class and jupyter iPython notebook for pricing a fixed coupon bond☆23Updated 6 years ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆17Updated last year
- Actuarial cash flow model☆20Updated 7 years ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆27Updated 5 years ago
- Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.☆131Updated last year
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 6 years ago
- A framework for estimating Basel IV capital requirements.☆23Updated 5 years ago
- Development space for PhD in Finance☆33Updated 5 years ago
- Implementation of financial models in pricing derivatives and implementation of python object oriented programming (OOP) features: 1. Fi…☆14Updated 7 years ago
- This repository provides the implementation of a handful of forecasting methods in yield curve modelling.☆24Updated 4 years ago
- Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"☆31Updated 2 years ago
- Class materials of Credit Risk Management taught by prof. Ed Hayes☆11Updated 7 years ago
- Pricing the Term Structure with Linear Regressions☆37Updated 7 years ago
- Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rate…☆19Updated 7 months ago
- Recreation of Diebold and Li: Forecasting the term structure of government bond yields in python.☆26Updated 8 years ago
- ☆24Updated last year
- Fast Risks with QuantLib in Python☆14Updated 10 months ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆118Updated last year
- Open-source asset-liability model that uses LLM agents to simulate human behavior.☆20Updated 3 months ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆26Updated last year
- Financial applications focusing on portfolio management for Python☆16Updated 2 years ago
- Teaching Resources for Cuemacro courses☆53Updated last week