AnthonyBradford / optionmatrix Star 189 Code Issues Pull requests 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 Jul 17, 2024 C++
wilsonfreitas / copom Star 2 Code Issues Pull requests Term Structure Interpolation Considering Regulators Meetings finance fixed-income term-structure-models Updated Dec 7, 2023 R
mpokojovy / abstract.HJM Star 1 Code Issues Pull requests 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
mpokojovy / HJM-Euro Star 1 Code Issues Pull requests 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
jingxiangzou / Term-Structure-Modeling-Based-On-Adrian-Crump-and-Moench-2013- Star 1 Code Issues Pull requests Research on term structure. interest-rates term-structure-models Updated Aug 28, 2023 Jupyter Notebook