interest-rate-derivatives

Custom Python library focused on numerical methods for valuing fixed income securities: bonds, swaps, options, etc.

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

This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.

Financial Engineering in IRFX in C++

Pricing Interest Rate Derivatives under HJM Model

This repository contains production-style implementations of quantitative models for pricing derivatives, with a focus on Monte Carlo methods and market-consistent calibration.

Dynamic delta hedging of a short equity call under Black-Scholes, and FRA 3x6 hedging with SOFR futures driven by DV01. Python, NumPy, SciPy, Matplotlib.

Yield curve bootstrap and rates pricing on real market data. USD curve bootstrapped from US Treasury CMT par yields (home.treasury.gov), EUR curve ingested from ECB AAA-govt zeros (Svensson model). Bond/swap pricing, IRRBB scenarios, 22 invariant tests. Reproducible in one command.

Hedging a short FRA 3x6 with CME SOFR futures, forward rate implied from the SOFR curve and a DV01 hedge ratio rebalanced daily.

Open model validation, monitoring, stress testing and risk analytics workflows in Python.

Bermudan Receiver Swaption pricing using the Libor Market Model (LMM) under the spot measure, with Andersen (1999) primal-dual algorithm for optimal exercise boundaries. EPFL Advanced Derivatives project.

Study notes and notebooks for OTC derivatives pricing, Monte Carlo, FDM, volatility surface, IR and credit derivatives.

BGC Group — independent third-party profile of a public API surface, by API Evangelist. BGC Group, Inc. (NASDAQ: BGC), formerly BGC Partners, is a global brokerage and financial technology firm. Headquartered in New York and London, BGC operates electronic and voice broking across foreign exchange, interest rate derivatives, fixed income, energy an