wjwillemse / solvency2-data
Package for reading the Solvency 2 Risk-Free Interest Rate Term Structures and deriving the term structures for alternative extrapolations
☆11Updated 2 months ago
Alternatives and similar repositories for solvency2-data:
Users that are interested in solvency2-data are comparing it to the libraries listed below
- Financial Library ( Economic Scenario Generator, Asset Liability Management, Pricing )☆30Updated last year
- Actuarial cash flow model☆20Updated 7 years ago
- Regime Based Asset Allocation with MPT, Random Forest and Bayesian Inference☆25Updated 2 years ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆21Updated 4 years ago
- Portfolio optimization with cvxopt☆37Updated 2 months ago
- Hull-White 1/2 Factor Dynamics☆14Updated 2 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- Open-source asset-liability model that uses LLM agents to simulate human behavior.☆19Updated 2 months ago
- SOFR curve bootstrapping☆23Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆32Updated 6 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
- Python Code for Meucci Related Blog Posts☆16Updated 8 years ago
- An open-source Python framework for actuarial cash flow models☆43Updated last week
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆50Updated 4 years ago
- All Python algorithms published by Open Source Modelling in one place.☆38Updated 2 months ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆21Updated 4 years ago
- Yield curve Interpolation using cubic spline and nelson Seigel model☆15Updated 5 years ago
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆24Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 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…☆29Updated 3 years ago
- FactorLab is a python library which enables the transformation of raw data into informative alpha and risk factors used in the investment…☆18Updated 3 years ago
- 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
- A python library for generating macro-economic scenarios☆10Updated 3 months ago
- Time Value of Money - a Python package for mathematical interest theory, annuity, and bond calculations.☆32Updated 3 years ago
- One-off scripts/analysis, usually to accompany my blog posts.☆43Updated 3 years ago
- Tools for creating and working with aggregate probability distributions.☆51Updated 3 weeks ago
- Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.☆16Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- a Python tool for downloading sharadar data from Quandl.☆10Updated 2 years ago