fixed-income
There are 61 repositories under fixed-income topic.
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.
rolling-panda-san/notebooks
Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.
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.
lakshmiDRIP/DROP
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
jerryxyx/TreasuryFutureTrading
A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
lakshmiDRIP/DRIP
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
wilsonfreitas/R-fixedincome
Fixed income tools for R
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.
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.
max-fitzpatrick/bond_pricer
Python class and jupyter iPython notebook for pricing a fixed coupon bond
epogrebnyak/data-ust
US Treasuries Yield Curve Data
daniel-m-campos/fixed-income
Basic package for fitting yield-curves and other things.
MarcusJul/Bloomberg-Fixed-Income-Data-Processing
Standardised Bloomberg Fixed Income Processing
wegamekinglc/Derivatives-Algorithms-Lib
AAD enabled and scripting included derivatives modeling.
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
rafacmc/fibra
FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.
boyac/pyTrading
Based on the concepts in "CIMTR" and others, swing trading
harshhacks/quantparadise
Interest-rate modeling and Fixed Income Pricing in Python
Fixed-Income-OS/fxpy
A python library for modeling and analyzing fixed income securities
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
wrcarpenter/Interest-Rate-Models
Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.
as4456/Wu_Xia
Replicates the script for generating the Wu Xia shadow rate term structure model in python
manochasunilgithub/FPTrader
Open Source Trading Platform
mkipnis/qldds
QLDDS - Data Distribution Service for QuantLib
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.
anuragsodhi/Bond-Pricing
Models for Fixed Income instruments pricing
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)
shreysrins/fixedincome
Python Fixed Income Securities & Derivatives analytics package
andrew-impell/financial-data-analysis
Random array of scripts to price securities, analyse market data, etc..
matiasgleser/bymadata-api-wrapper
Unofficial Python Wrapper for BymaData API service.
nchukalovskiy/bonds-risk
Financial risks of bonds
garthmortensen/finance
Contains financial studies work, including capital markets, corporate finance and other topics.
wrcarpenter/Fixed-Income-Valuation
Custom Python library focused on numerical methods for valuing fixed income securities: bonds, swaps, options, etc.