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heath-jarrow-morton

Here are 3 public repositories matching this topic...

mpokojovy / HJM-Euro

Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model

financial-analysis bonds yield-curve time-series-analysis time-series-forecasting term-structure-models financial-data-analysis heath-jarrow-morton

Updated Dec 9, 2023
MATLAB

manojkvel / pricing_ird_using_hjm

Pricing Interest Rate Derivatives under HJM Model

pricing pca eigenvectors eigenvalues heath-jarrow-morton interest-rate-derivatives

Updated May 9, 2021
Java

mpokojovy / abstract.HJM

The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates

time-series-analysis time-series-forecasting term-structure-models financial-data-analysis vasicek-model short-rates heath-jarrow-morton us-treasuries

Updated Nov 28, 2020
MATLAB

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