Alternatives and similar repositories for curve-building:

Users that are interested in curve-building are comparing it to the libraries listed below

• vilen22 / sofr
  SOFR curve bootstrapping
  ☆23Updated 4 years ago
• ahgperrin / PyCurve
  PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…
  ☆39Updated 3 years ago
• fp1acm8 / Analysis-of-Financial-Time-Series
  Semi-automatic analysis of a financial series using Python.
  ☆12Updated 3 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 4 years ago
• sylam / riskflow
  An xVA quantitative library written in python using tensorflow
  ☆18Updated this week
• antdvid / FastAmericanOptionPricing
  Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…
  ☆46Updated 4 years ago
• scikit-portfolio / scikit-portfolio
  A portfolio optimization tool with scikit-learn interface. Hyperparameters selection and easy plotting of efficient frontiers.
  ☆54Updated last year
• supreeth8 / Term_structure_modeling
  Yield curve Interpolation using cubic spline and nelson Seigel model
  ☆15Updated 5 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• FranklinMa810 / Market-Microstructure
  ☆21Updated 5 years ago
• druce / portfolio_optimization
  Portfolio optimization with cvxopt
  ☆36Updated last month
• bernhard-pfann / pca-yield-curve-analytics
  Predictive yield curve modeling in reduced dimensionality
  ☆43Updated 2 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆60Updated last week
• wesley1001 / factorlab
  FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…
  ☆17Updated 3 years ago
• pingfcc99 / FixedIncomeQuantTrading
  ☆17Updated 6 years ago
• cantaro86 / python-machine-learning-book-2nd-edition
  The "Python Machine Learning (2nd edition)" book code repository and info resource
  ☆14Updated 5 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 11 months ago
• lionel75013 / sabrMC
  Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide
  ☆7Updated 6 years ago
• oumarndiaye / Projet_QF_partie_2
  Vanna-volga pricer for fx options
  ☆9Updated 6 years ago
• dpopadic / arpmRes
  Advanced Risk and Portfolio Management Resources
  ☆26Updated 5 years ago
• GiulioRossetti94 / PyBondLab
  ☆24Updated last month
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆21Updated 4 years ago
• FedericoHan / BootstrapSwapYieldCurve
  Get discount factors and zero rates from interest rate swaps
  ☆10Updated 7 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆13Updated 10 months ago
• LSEG-API-Samples / Article.RD.Python.MarketRegimeDetectionUsingStatisticalAndMLBasedApproaches
  ☆36Updated 2 years ago
• bondxue / Asset-Backed-Security-Modeling
  ScriptUni Python in Finance Certificate Final Project
  ☆37Updated 2 years ago
• amuguruza / RoughFCLT
  ☆19Updated 6 years ago
• JackJacquier / SSVI
  Surface SVI parameterisation and corresponding local volatility
  ☆41Updated 4 years ago
• AIM-IT4 / QuantitativeDerivativeModels
  ☆45Updated last year