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index.html
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<!DOCTYPE html>
<html>
<head>
<style>
.container {
margin-left: 20%;
margin-right: 20%;
margin-top: 10px;
margin-bottom: 10px;
border: 1px solid gray;
padding: 25px 50px;
text-align: left;
}
div > #pic {
height: 20px;
align: "center"
}
div > ul > li > img {
height: 200px;
align: "center";
}
</style>
</head>
<body>
<div align="center">
<h1> Fixed income securities analysis</h1>
<!--Instalation-->
<div class="container">
<h2 align="left">Instalation</h2>
<p>First you need to install <a href=https://conda.io/docs/user-guide/install/index.html>anaconda</a></p>
<img class="pic" src="img/instalation.gif" height=200px>
</div>
<!--Bootstrapping-->
<div class="container">
<h2 align="left">Bootstrapping and Interpolation:</h2>
<h3>Features</h3>
<ul>
<li>Bootstrap strip rates from historical rates given by the US treasury</li>
<li>Interpolate the term structure</li>
</ul>
<h3>Enhancements:</h3>
<ul>
<li>Paralel multiprocessing to increase bootsraping speed: 80% reduction in processing time</li>
</ul>
<img class="pic" src="img/bootstrap_paralel_processing.png" height=200px>
</div>
<!--BDT-->
<div class="container">
<h2 align="left">Black-Derman-Toy </h2>
<h3>Features</h3>
<ul>
<li>Fit the model to a term structure and historical volatility data</li>
<li>Value callable/puttable bonds</li>
</ul>
<h3>Enhancements:</h3>
<ul>
<li>Load historical rate</li>
<li>Bootstrao and interpolate the term structure</li>
<ul>
<li>Paralel multiprocessing to increase bootsraping speed: 80% reduction in processing time</li>
</ul>
<li>Estimate historical volatilities</li>
<ul>Fit the model</li>
<li>Use an Adam solver to fit the model</li>
<ul>
<li>Calculate numerical gradient with paralel processing, or not</li>
<li>Visualize the model loss and the ratio of model prices or volatility to real price or volatility</li>
<img src="img/solver.gif" class="animated_gif" height="200px" >
</ul>
</ul>
</div>
<!--Vasicek-->
<div class="container">
<h2 align="left">Vasicek</h2>
<h3>Features</h3>
<ul>
<li>Fit the model</li>
<li>Value a callable/puttable zero-coupon bond</li>
</ul>
</div>
</div>
</body>
<html>