PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.
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Aug 28, 2021 - Python
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hull-white
Here are 16 public repositories matching this topic...
All Python algorithms published by Open Source Modelling in one place.
python bootstrap insurance risk-analysis risk calibration risk-models actuarial risk-management singular-spectrum-analysis life-insurance hull-white stationary actuarial-statistics bisection-method capital-markets actuarial-modeling smith-wilson solvency2 stationary-bootstrap
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May 12, 2025 - Jupyter Notebook
Classical models implemented from a Markov operator's perspective
markov-model markov-chain markov-chain-monte-carlo markovian-processes stochastic-models nelson-siegel hull-white log-normal local-vol
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Jun 1, 2018 - Python
Open-source stochastic economic scenario generator.
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Aug 21, 2024 - HTML
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
simulation quantitative-finance interest-rates black-scholes computational-finance european-options equity-index hull-white derivatives-pricing cir-model vasicek heston cox-ingersoll-ross
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Aug 7, 2023 - Jupyter Notebook
Mathematical derivation for properties of the Hull White short rate model.
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Jul 22, 2023 - Jupyter Notebook
Financial Engineering in IRFX in C++
cmake python-bindings curve-construction pybind11 monte-carlo-methods derivative-pricing hull-white lmm sabr-model stochastic-volatility interest-rate-derivatives exotic-options hjm
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Mar 1, 2024 - Jupyter Notebook
This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.
python jupyter-notebook derivatives model-calibration pde fixed-income swaptions hull-white pde-solver derivatives-pricing options-pricing bermudan-option options-calculator short-rates quant-finance interest-rate-derivatives bachelier-model fixed-income-analytics interest-rate-models fixed-income-modeling
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Mar 19, 2026 - Jupyter Notebook
Dynamic Term Structure Modeling & Arbitrage-Free Interest Rate Simulation: A research-level fixed income quant project implementing a full interest rate modeling pipeline from raw Treasury data to derivative pricing and risk analysis.
pca-analysis interest-rates yield-curve fixed-income g2 nelson-siegel hull-white zero-coupon vasicek-model cox-ingersoll-ross heath-jarrow-morton hjm
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Mar 3, 2026 - Jupyter Notebook
A high-performance neural engine for calibrating the Heston-Hull-White stochastic model. Features 50-core parallel data generation and 3D risk-sensitivity (Vega) manifolds.
neural-networks high-performance-computing quantitative-finance stochastic-differential-equations hull-white heston-stochastic-volatility
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Feb 5, 2026 - Jupyter Notebook
Bilateral CVA/DVA computation for FX Forward and EUR IRS — CDS bootstrapping, Hull-White IR model, Monte Carlo simulation. MSc Capstone @ PUEB 2026.
python monte-carlo derivatives quantitative-finance cva risk-management hull-white credit-risk counterparty-risk
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Apr 1, 2026
A Python-based framework for calibrating the Gaussian Short-Rate (GSR) interest rate model using TensorFlow and QuantLib, enabling precise and efficient swaption volatility surface fitting.
machine-learning quantitative-finance financial-engineering swaptions hull-white interest-rate-model
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Dec 29, 2025 - TeX
FFT, Monte Carlo, and finite difference
option-pricing quantitative-finance hull-white heston-model heston stochastic-volatility heston-stochastic-volatility
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Oct 9, 2021 - C++
Inferencia estadística en Ecuaciones Diferenciales Estocásticas (EDE) y modelos estocásticos con aplicaciones reales en finanzas, biología y epidemiología: simulación de EDE, MCMC, EM y estimación de parámetros con datos discretos con su implementaciones en Python y R.
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Nov 2, 2025 - Jupyter Notebook
In this jupyter notebook an attempt was made to predict interest rate movements by Monte Carlo Simulations using the Vasicek, Cox-Ingerson-Ross, and Hull & White Model
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Sep 30, 2023 - Jupyter Notebook
Python implementation of the Heston-Hull & White model for modelling price processes under stochastic volatility and interest rates. Includes a sample use case demonstrating calibration to historical interest rate and option data.
python quantitative-finance stochastic-processes quantitative-analysis hull-white heston-stochastic-volatility
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Jul 10, 2025 - Jupyter Notebook
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