Replicates the script for generating the Wu Xia shadow rate term structure model in python
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Updated
Jan 12, 2016 - Python
Replicates the script for generating the Wu Xia shadow rate term structure model in python
Models for Fixed Income instruments pricing
Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)
A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
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 Optio…
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Create a utility/tool to assist Portfolio Managers in data Acquisition and Modeling.
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.
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