Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.
Financial Models using vba script and Python
Analytics labs notebooks for Statistics and Business School students
CLI bond calculator that computes bond YTM, price, duration, and convexity.
Collection of projects oriented around the computational finance domain.
Python class and jupyter iPython notebook for pricing a fixed coupon bond
FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.
Computation of bond value
Finance R program - bond pricing, option pricing, and others
Bonds calculator for MOEX
Structured Finance Cashflow Engine
World Embedding: a daily 64-dim representation of the aggregate economic state (1985-2021). Drop-in state vector for asset pricing, macro forecasting, regime detection, and event studies.
Bayesian estimation of no-arbitrage affine term structure models in Julia
Calculates Bond Valuations
Artificial Neural Network - Corporate Investment Grade Bond Rating
🚨 A web application that notifies you about Brazilian treasury bond rates.
Fixed income math implemented in python and supported with theory. Based on Donald J. Smith's Bond Math: The Theory Behind the Formulas
Options and derivative terminal | Modern Bonds Search Engine.
This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).
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