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forward-curve

Here are 3 public repositories matching this topic...

lakshmiDRIP / DROP-Fixed-Income

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Optio…

fixed-income instruments-trading-convention treasury-futures-options funding-curve forward-curve libor-curve ois-curve overnight-curve multi-curve collateral-curve position-horizon-analyzer statistical-curve-construction bond-pricing-relative-value interest-rate-products cva-dva-fva-kva-xva interest-rate-options stochastic-volatility-models lmm-calibration-greeks algorithmic-differentiation asset-backed

Updated Sep 26, 2018
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NaimLehbiben / Gestion-Quantitative-2

Replication of the research paper : Catching the curl: Wavelet thresholding improves forward curve modelling

state-space kalman-filter forward-curve commodities wavelets futures-prices

Updated May 18, 2024
Jupyter Notebook

arashshams / Forward_Curve_R

An optimization task for building Forward Curve

r optimization forward-curve

Updated Feb 21, 2022
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