sabr

There are 11 repositories under sabr topic.

  • jkirkby3/PROJ_Option_Pricing_Matlab

    Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

    Language:MATLAB2037373

  • jkirkby3/fypy

    Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.

    Language:Python1226226

  • LuanRT/googlevideo

    A set of utilities for working with Google Video APIs.

    Language:TypeScript1035716

  • LuanRT/kira

    YouTube client built with Vue, demonstrating SABR playback via YouTube.js & googlevideo

    Language:TypeScript31006

  • prodipta/bsoption

    Package for option pricing and volatility calibration for index (and FX) options

    Language:R8404

  • nicholasferguson/SABR.NelderMead_Studies_2

    SABR NelderMead volatility

    Language:C++4204

  • metahris/PricingWarehouse

    C# pricer that allows users to price a wide range of financial products.

    Language:C#3103

  • hedge0/VolSplinesLib

    VolSplinesLib is a Python library for interpolating implied volatility surfaces using various volatility models. The library provides tools for fitting and interpolating models to market data, supporting popular methods like RFV, SLV, SABR, and SVI.

    Language:Python2102

  • nicholasferguson/SABR_Studies_1

    Language:C++2103

  • seanlahman/SABR-datasets

    Open source collection of baseball datasets

    2100

  • QuantDevJayson/quantumfx-engine

    The next-generation open-source platform for quantitative FX risk modeling, scenario analysis, and regulatory stress testing.

    Language:Python