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

Collection of projects oriented around the computational finance domain.

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

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

Structured Finance Cashflow Engine

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

World Embedding: a daily 64-dim representation of the aggregate economic state (1985-2021). Drop-in state vector for asset pricing, macro forecasting, regime detection, and event studies.

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

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.