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A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction …
implementing the SA-CCR based on the CRR2 Regulation
An xVA quantitative library written in python using tensorflow
Learn quantitative finance with this comprehensive lecture series. Adapted from the Quantopian Lecture Series. Uses free sample data.
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions
Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation …
[Legacy] Data & AI Notebook templates catalog organized by tools, following the IMO (input, model, output) framework for easy usage and discovery..
Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
Collection of notebooks about quantitative finance, with interactive python code.
Repo containing a copy of mcbench benchmarks
Python toolkit for quantitative finance
A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
Quantitative analysis, strategies and backtests
A comprehensive machine learning repository containing 30+ notebooks on different concepts, algorithms and techniques.
A curated list of practical financial machine learning tools and applications.
High-performance TensorFlow library for quantitative finance.