reese3928 / fincomepyLinks
Fixed income related calculations in Python
☆20Updated 4 years ago
Alternatives and similar repositories for fincomepy
Users that are interested in fincomepy are comparing it to the libraries listed below
Sorting:
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆18Updated 8 years ago
- Interest-rate modeling and Fixed Income Pricing in Python☆12Updated 4 years ago
- On this repository you'll find tools used for Quantitative Analysis and some examples such: MonteCarlo Simulations, Linear Regression, Ge…☆27Updated 2 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predicta…☆33Updated 4 years ago
- exotx provides a simple and user-friendly interface for pricing and analyzing financial derivatives using QuantLib's advanced numerical m…☆14Updated last year
- Visualising correlations between different ETFs using network analytics and Plotly☆34Updated 3 years ago
- Quantamental finance research with python☆149Updated 3 years ago
- ☆41Updated 2 years ago
- Learn how to research fundamental factors using Pipeline, Alphalens, and Sharadar price and fundamental data.☆14Updated last year
- Fixed Income Valuation Recipes in Python by Oluwaseyi Adebayo Awoga (Tony)☆82Updated 11 months ago
- Source Codes for "Contrarian Trading Strategies in Python"☆77Updated 2 years ago
- Dispersion Trading using Options☆33Updated 8 years ago
- Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.☆12Updated last year
- ☆42Updated 2 years ago
- Rewriting the code in "Machine Learning for Factor Investing" in Python☆89Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 6 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆120Updated last year
- factor return calculation, mean-variance / Black&Litterman portfolio optimization, risk decomposition☆30Updated 6 years ago
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆35Updated last year
- Implements different approaches to tactical and strategic asset allocation☆38Updated 7 months ago
- Collection of notebooks and scripts related to financial engineering, quant-research and algo-trading.☆68Updated last year
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆55Updated 4 years ago
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- CS7641 Team project☆96Updated 5 years ago
- SOFR curve bootstrapping☆26Updated 5 years ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- 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
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year