Affine Term-Structure Models: Theory and Implementation
☆14Apr 6, 2020Updated 6 years ago
Alternatives and similar repositories for ATSMTI
Users that are interested in ATSMTI are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- Affine term structure modeling Python package. See LICENSE for terms of use.☆15Aug 29, 2016Updated 9 years ago
- Get discount factors and zero rates from interest rate swaps☆11Mar 1, 2018Updated 8 years ago
- Elements of Financial Risk Management in Python☆12Jan 10, 2021Updated 5 years ago
- Fixed-Income-Quant-Trading Projects☆16Jul 21, 2018Updated 7 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Asset allocation and Portfolio Management Course @ Baruch MFE☆17Feb 1, 2020Updated 6 years ago
- A cursory look at the dynamics of zero coupon bond yield curves.☆15Dec 26, 2022Updated 3 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆26Dec 9, 2017Updated 8 years ago
- Credit Default Swap Pricer☆20Aug 12, 2023Updated 2 years ago
- This repository hosts the code and data from the GAUSS blog☆15Apr 1, 2026Updated last month
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆18Jan 5, 2020Updated 6 years ago
- R package to access USPTO bulk data in tidy, rectangular format☆10Dec 26, 2021Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- bayesPop R package☆12May 12, 2026Updated 2 weeks ago
- ☆13Mar 19, 2025Updated last year
- Stochastic Mortality Modelling☆25Apr 6, 2021Updated 5 years ago
- GDSGE: A Toolbox for Solving Global DSGE Models☆38Dec 27, 2025Updated 5 months ago
- Raspberry PI 3/4 Raspbian Buster 10 Pre built OpenCV 4.5.0 Turned on compile flags TBB NEON VFPV3☆15Oct 19, 2020Updated 5 years ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Apr 11, 2026Updated last month
- Python wrappers around QuantLib and Pandas to easily generate volatility surfaces☆19Jan 18, 2023Updated 3 years ago
- Multivariate Markov-Switching Models Regressions Framework☆13May 14, 2020Updated 6 years ago
- Analysis of the Primiceri (REStud, 2005) model☆32Sep 5, 2024Updated last year
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Program to forecast Barley crop yields in the North Western United States☆10Oct 2, 2020Updated 5 years ago
- Cash flow and analytics engine for mortgage-backed securities (MBS)☆13Apr 5, 2022Updated 4 years ago
- OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitiv…☆10Jul 28, 2023Updated 2 years ago
- Reinforcement learning environment for trading☆15Jan 27, 2018Updated 8 years ago
- Harvardx: PH526x Using Python for Research, EdX☆14Oct 3, 2018Updated 7 years ago
- ☆11Nov 7, 2020Updated 5 years ago
- My online courses on computation, numerical methods, and simulation☆12Sep 9, 2020Updated 5 years ago
- Baruch MFE 2019 Spring☆46May 29, 2020Updated 6 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- ☆11Dec 18, 2015Updated 10 years ago
- Calculate futures contango rolldown for popular 30 day avg maturity VIX ETFs such as SVXY and XIV☆15Jun 12, 2023Updated 2 years ago
- Homework to Stephen Boyd's Convex Optimization class (CVX101 Stanford) with python and cvxpy☆12Dec 30, 2020Updated 5 years ago
- Pricing and calibration models☆13Mar 28, 2025Updated last year
- Pricing the Term Structure with Linear Regressions☆44Feb 4, 2018Updated 8 years ago
- A flipped classroom series on understanding LLMs for non-CS/AI students☆40Jun 5, 2025Updated 11 months ago
- A python notebook showing how to visualize laplace transforms☆11Feb 13, 2019Updated 7 years ago