fixed-income
There are 20 repositories under fixed-income topic.
- OpenBB
OpenBB-finance / OpenBB
Financial data platform for analysts, quants and AI agents.
Language:Python 52264 - FinancePy
domokane / FinancePy
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
Language:Jupyter Notebook 2528 rolling-panda-san / notebooks
Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.
Language:Jupyter Notebook 630- rateslib
attack68 / rateslib
A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction with market standard optimisers and automatic differentiation (AD) and risk sensitivity calculations including delta and cross-gamma.
Language:Python 275 - DROP
lakshmiDRIP / DROP
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
Language:HTML 130 jerryxyx / TreasuryFutureTrading
A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
Language:Jupyter Notebook 76wilsonfreitas / R-fixedincome
Fixed income tools for R
Language:R 59Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
Language:Java 57DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analytics.
algorithmic-differentiationasset-backedbond-pricing-relative-valuecollateral-curvecva-dva-fva-kva-xvafixed-incomeforward-curvefunding-curveinstruments-trading-conventioninterest-rate-optionsinterest-rate-productslibor-curvelmm-calibration-greeksmulti-curveois-curveovernight-curveposition-horizon-analyzerstatistical-curve-constructionstochastic-volatility-modelstreasury-futures-optionsLanguage:HTML 29mcf-long-short / fixed-income-and-credit
Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.
Language:Jupyter Notebook 29epogrebnyak / data-ust
US Treasuries Yield Curve Data
Language:Python 25max-fitzpatrick / bond_pricer
Python class and jupyter iPython notebook for pricing a fixed coupon bond
Language:Jupyter Notebook 23wegamekinglc / Derivatives-Algorithms-Lib
AAD enabled and scripting included derivatives modeling.
Language:C++ 22MarcusJul / Bloomberg-Fixed-Income-Data-Processing
Standardised Bloomberg Fixed Income Processing
Language:Jupyter Notebook 20daniel-m-campos / fixed-income
Basic package for fitting yield-curves and other things.
Language:Jupyter Notebook 19- Language:HTML 19
- Language:Jupyter Notebook 17
as4456 / Leo_Krippner_SSR
Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
Language:Python 14wrcarpenter / Interest-Rate-Models
Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.
Language:Python 12- Language:Jupyter Notebook 11
harshhacks / quantparadise
Interest-rate modeling and Fixed Income Pricing in Python
Language:Jupyter Notebook 11Fixed-Income-OS / fxpy
A python library for modeling and analyzing fixed income securities
Language:Python 10- Language:Jupyter Notebook 10
konimarti / fixedincome
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
Language:Go 10manochasunilgithub / FPTrader
Open Source Trading Platform
Language:C# 9upathare1 / Advanced-Term-Structures
Our project extends the classical models such as Vasicek and CIR to incorporate the effects of jump-risks in the market. We explore modern methods to price and calibrate such models and evaluate their pricing performance with respect to classical models and the observed market prices.
Language:Jupyter Notebook 9Replicates the script for generating the Wu Xia shadow rate term structure model in python
Language:Python 8MBKraus / Solvency_II_Spread_Risk_Capital_Charge
Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)
Language:Python 8- Language:C++ 8
anuragsodhi / Bond-Pricing
Models for Fixed Income instruments pricing
Language:Python 7- Language:Jupyter Notebook 6
shreysrins / fixedincome
Python Fixed Income Securities & Derivatives analytics package
Language:Python 6andrew-impell / financial-data-analysis
Random array of scripts to price securities, analyse market data, etc..
Language:Python 5matiasgleser / bymadata-api-wrapper
Unofficial Python Wrapper for BymaData API service.
Language:Python 5nchukalovskiy / bonds-risk
Financial risks of bonds
Language:Mathematica 5
