forward-curve

There are 3 repositories under forward-curve topic.

  • 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:HTML286014

  • arashshams/Forward_Curve_R

    An optimization task for building Forward Curve

    Language:RMarkdown10

  • NaimLehbiben/Gestion-Quantitative-2

    Replication of the research paper : Catching the curl: Wavelet thresholding improves forward curve modelling

    Language:Jupyter Notebook