Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.

Analytics labs notebooks for Statistics and Business School students

Financial Models using vba script and Python

CLI bond calculator that computes bond YTM, price, duration, and convexity.

Collection of projects oriented around the computational finance domain.

Python class and jupyter iPython notebook for pricing a fixed coupon bond

FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.

Computation of bond value

Finance R program - bond pricing, option pricing, and others

Bonds calculator for MOEX

🚨 A web application that notifies you about Brazilian treasury bond rates.

Artificial Neural Network - Corporate Investment Grade Bond Rating

Calculates Bond Valuations

Fixed income math implemented in python and supported with theory. Based on Donald J. Smith's Bond Math: The Theory Behind the Formulas

This program calculates the price of European double-barrier knock-out calls by the use of binomial trees and Monte Carlo Simulations.

Implementation of a fixed-rate bond pricer to compute various bond metrics (yield to maturity, price, duration, convexity...).

Options and derivative terminal | Modern Bonds Search Engine.

This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).

Exercises for Zazove Associates interview process. Option-free coupon bond pricing using discounted cash flow model and European stock pricing using binomial model.

Moduł do Finance::Quote (i GnuCash) obliczający wartość polskich obligacji skarbowych.

Practice Questions using QuantLib 1.18 and Boost 17

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I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.

This PowerShell script fetches U.S. Savings Bond values using the web form located at https://www.treasurydirect.gov/BC/SBCPrice

Toolkit for Fixed Income instruments

This repository includes the projects in the lessons that I took with datacamp.com

This is a small program that shows how to calculate an n-year spot rate if the n-year zero-coupon bond price moves from q% to (1+k%) *q%, where q% is the quoted price.

Arbitrage-free Pricing of Fixed Income Securities Using Python

Historical bond yields data going back decades with all yield types included.

Bond Valuation and Analysis in Python