An environment to high-frequency trading agents under reinforcement learning

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 with market standard optimisers and automatic differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.

Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.

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?"

Examples and code for the Practical Machine Learning workshop series

Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model

One factor Vasicek model in Python.

Replicates the script for generating the Wu Xia shadow rate term structure model in python

The FOMCAnalysis model is engineered to analyze and interpret the language utilized by Federal Reserve officials and in key FOMC releases, such as the Beige Book and the minutes.

python implementation of forward rate modeling

CQF Final Project

Mcalc is a web application. It convert interest rates based on Brazil benchmarks like CDI, IPCA and IGPM.

Arbitrage-free Dynamic Generalized Nelson-Siegel model of interest rates following Christensen, Diebold and Rudebusch; and its estimation using the Kalman filter / maximum likelihood.

This is a repository that cosists of my files produced when learning from the book: 基于Python的金融分析与风险管理第二版

Web crawler for house price index and relevant economic indices

현재 실질금리 계산 프로그램 - KR.Real Interest Rate Calculation Program

A Python command-line utility that generates interest rate swap trades needed to achieve zero-sum notional value and cashflow.

This program calculates the interest incurred on a credit card for a billing cycle based on user inputs. It takes the net balance, payment amount, days in the billing cycle, and interest rate to compute the average daily balance and interest incurred. Ideal for managing and tracking credit card interest effectively.