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interest-rate-derivatives

Here are 4 public repositories matching this topic...

wrcarpenter / Fixed-Income-Valuation

Custom Python library focused on numerical methods for valuing fixed income securities: bonds, swaps, options, etc.

duration derivatives fixed-income mortgages convexity interest-rate-derivatives

Updated Feb 20, 2024
Python

ccjeremylo / FinEng-in-IRFX

Financial Engineering in IRFX in C++

cmake python-bindings curve-construction pybind11 monte-carlo-methods derivative-pricing hull-white lmm sabr-model stochastic-volatility interest-rate-derivatives exotic-options hjm

Updated Mar 1, 2024
Jupyter Notebook

manojkvel / pricing_ird_using_hjm

Pricing Interest Rate Derivatives under HJM Model

pricing pca eigenvectors eigenvalues heath-jarrow-morton interest-rate-derivatives

Updated May 9, 2021
Java

aleCombi / Hedgehog.jl

Julia library for pricing linear interest rate derivatives.

finance julia quantitative-finance interest-rate-derivatives

Updated Nov 23, 2024
Julia

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