nelson-siegel

Here are 5 public repositories matching this topic...

pmontalb / MarkovModels

Classical models implemented from a Markov operator's perspective

markov-model markov-chain markov-chain-monte-carlo markovian-processes stochastic-models nelson-siegel hull-white log-normal local-vol

Updated Jun 1, 2018
Python

myupeshkov / Model_risk

Star

Analysis of Russian bonds

finance risk-analysis kalman-filter bonds risk-management nelson-siegel

Updated Jan 30, 2021
Jupyter Notebook

snejens / arbfree_dynamic_nelson_siegel

Star

Arbitrage-free Dynamic Generalized Nelson-Siegel model of interest rates following Christensen, Diebold and Rudebusch; and its estimation using the Kalman filter / maximum likelihood.

kalman-filter interest-rates maximum-likelihood-estimation vector-autoregression nelson-siegel state-space-model

Updated May 19, 2024
Python

raj-rao-rr / International-Real-Yields

Star

The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.

yield-curve nelson-siegel svensson

Updated Nov 18, 2021
MATLAB

omarja12 / Nelson-Siegel-Svensson-parameters-estimations

Star

Estimating the Nelson Siegel Svensson parameters

curve-fitting interest-rates yield-curve nelson-siegel svensson

Updated Aug 6, 2022
Jupyter Notebook

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nelson-siegel

Here are 5 public repositories matching this topic...

pmontalb / MarkovModels

myupeshkov / Model_risk

snejens / arbfree_dynamic_nelson_siegel

raj-rao-rr / International-Real-Yields

omarja12 / Nelson-Siegel-Svensson-parameters-estimations

Improve this page

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