Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.
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Updated
Apr 28, 2024 - Python
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ho-lee
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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
finance options fintech valuation quantitative-finance financial-analysis bonds fixed-income montecarlo-simulation options-pricing vasicek termstructure forwards interestrateswaps ho-lee forwardrateagreement
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Mar 31, 2023 - Go
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