PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.
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Aug 28, 2021 - Python
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hull-white
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All Python algorithms published by Open Source Modelling in one place.
python bootstrap algorithms insurance risk-analysis risk calibration risk-models actuarial risk-management life-insurance hull-white stationary actuarial-statistics bisection-method capital-markets actuarial-modeling smith-wilson solvency2 stationary-bootstrap
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Dec 8, 2024 - Jupyter Notebook
Classical models implemented from a Markov operator's perspective
markov-model markov-chain markov-chain-monte-carlo markovian-processes stochastic-models nelson-siegel hull-white log-normal local-vol
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Jun 1, 2018 - Python
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
simulation quantitative-finance interest-rates black-scholes computational-finance european-options equity-index hull-white derivatives-pricing cir-model vasicek heston cox-ingersoll-ross
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Aug 7, 2023 - Jupyter Notebook
Open-source stochastic economic scenario generator.
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Aug 21, 2024 - HTML
Mathematical derivation for properties of the Hull White short rate model.
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Jul 22, 2023 - Jupyter Notebook
Financial Engineering in IRFX in C++
cmake python-bindings curve-construction pybind11 monte-carlo-methods derivative-pricing hull-white lmm sabr-model stochastic-volatility interest-rate-derivatives exotic-options hjm
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Mar 1, 2024 - Jupyter Notebook
In this jupyter notebook an attempt was made to predict interest rate movements by Monte Carlo Simulations using the Vasicek, Cox-Ingerson-Ross, and Hull & White Model
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Sep 30, 2023 - Jupyter Notebook
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