Implementation of the Nelson-Siegel-Svensson interest rate curve model.
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Updated
Nov 2, 2023 - Python
Implementation of the Nelson-Siegel-Svensson interest rate curve model.
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
Interest Rates calculation, indexing and Term Structures.
Jupyter notebooks for analysis of US federal debt levels, tax revenues, budget deficit, evolution of yields on treasury borrowings, treasury yield curves and inflation expectations, unemployment and participation rates, quantitative easing, industrial production, personal consumption and savings. All analysis is based on data provided by FRED.
A cursory look at the dynamics of zero coupon bond yield curves.
Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.
NFTBox is a NFT staking project market app,NFT Yield Farming,you can stake your NFT get reward tokens,or you can create your own NFT Staking Project on on Ethereum,Binance,Polygon,Cronos....DEFI Dapp platform.
Yield Spread Curve as Recession Indicator in the framework of Machine Learning "On the trails of Dragon Kings"
Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates
Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.
Quantitative and computational finance library
An Excel integration of OpenGamma Strata.
Capturar dados de curvas de juros (ettj) usadas no Brasil.
Financial exercises
Yield curves are required to price insurance contracts. This repo contains the Python back end (Azure Functions) and React front end (single-page app).
In this project, I show how different combinations and components of term spread have varying shapes, which can be analyzed in order to understand movements in the economy. Calculating term spread dispersion can help us better price risk in the bond market. Term spread combinations have varying power in explaining future movements in macro varia…
NFTBox is a NFT staking project market app,NFT Yield Farming project,you can stake your NFT get reward tokens,or you can create your own NFT Staking Project on on Ethereum,Binance,Polygon,Cronos....DEFI Dapp platform.
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