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term-structure-models

Here are 5 public repositories matching this topic...

AnthonyBradford / optionmatrix

Financial Derivatives Calculator with 168+ Models (Options Calculator)

options monte-carlo financial quantlib derivatives quantitative-finance futures financial-analysis currency-exchange black-scholes financial-engineering swaps options-trading heston-model spreads options-pricing term-structure-models vasicek

Updated Dec 8, 2024
C++

wilsonfreitas / copom

Term Structure Interpolation Considering Regulators Meetings

finance fixed-income term-structure-models

Updated Dec 9, 2024
R

jingxiangzou / Term-Structure-Modeling-Based-On-Adrian-Crump-and-Moench-2013-

Research on term structure.

interest-rates term-structure-models

Updated Aug 28, 2023
Jupyter Notebook

mpokojovy / HJM-Euro

Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model

financial-analysis bonds yield-curve time-series-analysis time-series-forecasting term-structure-models financial-data-analysis heath-jarrow-morton

Updated Dec 9, 2023
MATLAB

mpokojovy / abstract.HJM

The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates

time-series-analysis time-series-forecasting term-structure-models financial-data-analysis vasicek-model short-rates heath-jarrow-morton us-treasuries

Updated Nov 28, 2020
MATLAB

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