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bachelier-model

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Idriss-Afra / CMS-Pricing-Analytics

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This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.

python cms jupyter-notebook option-pricing cms-framework fixed-income swaptions derivatives-pricing spread-option options-calculator vanilla-option-pricing quant-finance bachelier derivatives-pricing-models interest-rate-derivatives bachelier-model fixed-income-analytics hagan carr-madan constant-maturity-swap
  • Updated Sep 5, 2026
  • Jupyter Notebook

Idriss-Afra / Hull-White-One-Factor-Model

Star 2

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
  • Updated Mar 19, 2026
  • Jupyter Notebook

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