curve-construction

There are 1 repository under curve-construction topic.

lakshmiDRIP / DRIP
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
fixed-income asset-allocation portfolio-construction transaction-cost-analytics execution-cost-analytics bond curve-construction risk pnl optimal-execution xva-metrics cva dva
Language:Java 53
redukti / PyRedukti
PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.
python pricing-derivatives curve-construction interest-rate-products automatic-differentiation cython rate-curves rate-swaps sensitivities quantitative-finance
Language:Python 11
redukti / OpenRedukti
OpenRedukti is a C++ library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It provides a scripting environment in Python and Ravi (a Lua dialect).
pricing-derivatives interest-rate-products curve-construction sensitivities rate-swaps rate-curves quantitative-finance lua automatic-differentiation python
Language:C 8
ccjeremylo / FinEng-in-IRFX
Financial Engineering in IRFX in C++
derivative-pricing stochastic-volatility hjm exotic-options monte-carlo-methods cmake curve-construction interest-rate-derivatives pybind11 lmm sabr-model hull-white python-bindings
Language:Jupyter Notebook 1
vlainic / matthews-correlation-coefficient
MCC functions for ML
confusion-matrix correlation-coefficient curve-construction keras loss-functions machine-learning matthews metrics plotting statistics
Language:Python 1
kaustubholpadkar / Beizier-Curve-Simulation
computer-graphics p5js javascript curve-construction p5-sketches
Language:JavaScript