Open Source Modelling's repositories
insurance_python
All Python algorithms published by Open Source Modelling in one place.
Nelson_Siegel_Svansson_python
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.
Open_Source_Economic_Model
First open-source asset-liability model.
Smith_Wilson_python
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in Python.
insurance_matlab
All Matlab algorithms published by Open Source Modelling in one place.
Vasicek_one_factor_python
One factor Vasicek model in Python.
insurance_javascript
All JavaScript algorithms published by OSM in one place.
insurance_jupyter
All Jupyter Notebooks implemented by Open Source Modelling in one place.
one_factor_Hull_White_python
Simple implementation of the one factor Hull-White model of short rates.
black_sholes_python
Black and Sholes model for simulating the stock market in Python.
Metropolis_Hastings_Black_Sholes_ESG
Bayesian maximum likelihood of a Black Sholes stochastic scenario generator.
stationary_bootstrap_python
Resampling procedure for weakly dependent stationary observations.
bisection_alpha_python
Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm.
Black_Sholes_italiano_python
Modello di Black-Scholes per simulare il prezzo di un' tittolo.
bootstrap_stazionario_italiano_python
Un metodo di campionamento a blocchi per serie storiche debolmente dipendenti.
EIOPA_Monthly_rfr_check
Validation checks for EIOPA technical submissions written and documented in Jupyter notebooks.
EIOPA_Smith_Wilson_test
Example of recalculation of the EIOPA RFR curve.
Hull_White_properties_python
Mathematical derivation for properties of the Hull White short rate model.
Hull_White_stochastic_scenarios_checks_python
Demonstration of a test that checks if a stochastic scenario generator accurately covers the term structure.
Light_Economic_Generator
Open-source stochastic economic scenario generator.
Smith_Wilson_italiano_python
Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.
smith_wilson_matlab
Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.
two_factor_vasicek_python
Simple Two factor Vasicek model of inflation.
assicurazione_python
Tutti gli algoritmi con documentazione italiana, scritti in Python, in un unico posto.
correlated_brownian_motion_python
Generate correlated Brownian motions in JavaScript.
dothan_one_factor_python
Python implementation of the Dothan short-rate model.
insurance_solidity
All Solidity algorithms published by OSM in one place.
Nelson_Siegel_Svansson_python_ita
Algoritmo popolare per adattare una curva dei rendimenti a dati osservati.
stationary_bootstrap_callibration_python
Automatic calibration of the stationary bootstrap algorithm.
Vasicek_un_fattore_python_ita
Simula una serie temporale di tassi utilizzando il modello Vasicek a un fattore.