There are 17 repositories under fixed-income topic.
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.
A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
Fixed income tools for R
DRIP 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.
Python class and jupyter iPython notebook for pricing a fixed coupon bond
Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.
Basic package for fitting yield-curves and other things.
US Treasuries Yield Curve Data
Standardised Bloomberg Fixed Income Processing
AAD enabled and scripting included derivatives modeling.
Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
Interest-rate modeling and Fixed Income Pricing in Python
Models for Fixed Income instruments pricing
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
Open Source Trading Platform
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.
A python library for modeling and analyzing fixed income securities
Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)
Random array of scripts to price securities, analyse market data, etc..
Financial risks of bonds
Python Fixed Income Securities & Derivatives analytics package
Unofficial Python Wrapper for BymaData API service.
Contains financial studies work, including capital markets, corporate finance and other topics.
This model was my professional first experience coding with python. It provides a valuation for a investment that regularly pays a highly secure cash flow, in this case I have used ground rent payments from freehold ownership contracts to demonstrate its viability.
Experiment with fixed income risk at the portfolio level
Term Structure Interpolation Considering Regulators Meetings