fixed-income

There are 61 repositories under fixed-income topic.

  • FinancePy

    domokane/FinancePy

    A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

    Language:Jupyter Notebook2.2k70122324
  • rolling-panda-san/notebooks

    Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.

    Language:Jupyter Notebook50519685
  • rateslib

    attack68/rateslib

    A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.

    Language:Python167410529
  • DROP

    lakshmiDRIP/DROP

    Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

    Language:HTML122987845
  • jerryxyx/TreasuryFutureTrading

    A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change

    Language:Jupyter Notebook739036
  • lakshmiDRIP/DRIP

    Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

    Language:Java548021
  • wilsonfreitas/R-fixedincome

    Fixed income tools for R

    Language:R5483025
  • lakshmiDRIP/DROP-Fixed-Income

    DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.

    Language:HTML306014
  • mcf-long-short/fixed-income-and-credit

    Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.

    Language:Jupyter Notebook25308
  • max-fitzpatrick/bond_pricer

    Python class and jupyter iPython notebook for pricing a fixed coupon bond

    Language:Jupyter Notebook232010
  • epogrebnyak/data-ust

    US Treasuries Yield Curve Data

    Language:Python224112
  • daniel-m-campos/fixed-income

    Basic package for fitting yield-curves and other things.

    Language:Jupyter Notebook21209
  • MarcusJul/Bloomberg-Fixed-Income-Data-Processing

    Standardised Bloomberg Fixed Income Processing

    Language:Jupyter Notebook20217
  • wegamekinglc/Derivatives-Algorithms-Lib

    AAD enabled and scripting included derivatives modeling.

    Language:C++19417
  • pingfcc99/FixedIncomeQuantTrading

    Language:Jupyter Notebook155012
  • as4456/Leo_Krippner_SSR

    Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model

    Language:Python142116
  • rafacmc/fibra

    FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.

  • boyac/pyTrading

    Based on the concepts in "CIMTR" and others, swing trading

    Language:Jupyter Notebook11204
  • harshhacks/quantparadise

    Interest-rate modeling and Fixed Income Pricing in Python

    Language:Jupyter Notebook11144
  • Fixed-Income-OS/fxpy

    A python library for modeling and analyzing fixed income securities

    Language:Python10246
  • hjk612/Fixed-Income-Quant-Trading

    Language:Jupyter Notebook101013
  • konimarti/fixedincome

    Fixed income valuation with term structure models and Monte Carlo simulations: Pricing straight, floating and callable bonds, swaps, swaptions, forward rate agreements, and more exotic securities such as inverse or range floaters

    Language:Go9303
  • wrcarpenter/Interest-Rate-Models

    Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.

    Language:Python9101
  • as4456/Wu_Xia

    Replicates the script for generating the Wu Xia shadow rate term structure model in python

    Language:Python8309
  • manochasunilgithub/FPTrader

    Open Source Trading Platform

    Language:C#8308
  • mkipnis/qldds

    QLDDS - Data Distribution Service for QuantLib

    Language:C++8205
  • upathare1/Advanced-Term-Structures

    Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore modern methods to price and calibrate such models and evaluate their pricing performance with respect to classical models and the observed market prices.

    Language:Jupyter Notebook8304
  • anuragsodhi/Bond-Pricing

    Models for Fixed Income instruments pricing

    Language:Python7215
  • MBKraus/Solvency_II_Spread_Risk_Capital_Charge

    Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)

    Language:Python7207
  • RobinsonGarcia/fixed-income

    Language:Jupyter Notebook6207
  • shreysrins/fixedincome

    Python Fixed Income Securities & Derivatives analytics package

    Language:Python6156
  • andrew-impell/financial-data-analysis

    Random array of scripts to price securities, analyse market data, etc..

    Language:Python5422
  • matiasgleser/bymadata-api-wrapper

    Unofficial Python Wrapper for BymaData API service.

    Language:Python5200
  • nchukalovskiy/bonds-risk

    Financial risks of bonds

    Language:Mathematica5212
  • garthmortensen/finance

    Contains financial studies work, including capital markets, corporate finance and other topics.

    Language:MATLAB4101
  • wrcarpenter/Fixed-Income-Valuation

    Custom Python library focused on numerical methods for valuing fixed income securities: bonds, swaps, options, etc.

    Language:Python4101