Pinned Repositories
awesome-quant
A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)
bvar_forge
repo to upload some scripts for review
bvar_workspace
Credit-Project
Fixed-Income-Dashboards
Various Fixed Income projects
Git-TEST
Connecting Git for Version Control
NS-to-BL-Project
Generating Views on Corporate Bonds using a measure of relative value as determined by the Nelson-Siegel Model. Views are incorporated into a portfolio optimization using the Black-Litterman model.
PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
qrm
qrm
termstrc
The R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.
thestockman27's Repositories
thestockman27/awesome-quant
A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)
thestockman27/bvar_forge
repo to upload some scripts for review
thestockman27/bvar_workspace
thestockman27/Credit-Project
thestockman27/Fixed-Income-Dashboards
Various Fixed Income projects
thestockman27/Git-TEST
Connecting Git for Version Control
thestockman27/NS-to-BL-Project
Generating Views on Corporate Bonds using a measure of relative value as determined by the Nelson-Siegel Model. Views are incorporated into a portfolio optimization using the Black-Litterman model.
thestockman27/PyPortfolioOpt
Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
thestockman27/qrm
qrm
thestockman27/termstrc
The R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.
thestockman27/test_github_pages
testing github pages