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interest-rates
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Open Data, more than 50 financial data. 提供超過 50 個金融資料(台股為主)，每天更新 https://finmind.github.io/
Notebooks for financial economics. Keywords: Jupyter notebook pandas Federal Reserve FRED Ferbus GDP CPI PCE inflation unemployment wage income debt Case-Shiller housing asset portfolio equities SPX bonds TIPS rates currency FX euro EUR USD JPY yen XAU gold Brent WTI oil Holt-Winters time-series forecasting statistics econometrics
An environment to high-frequency trading agents under reinforcement learning
A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction with market standard optimisers and automatic differentiation (AD) and risk sensitivity calculations including delta and cross-gamma.
Tools for financial economics. Curated wrapper over Python ecosystem. Source code for fecon235 Jupyter notebooks.
Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics
Implementation of the Nelson-Siegel-Svensson interest rate curve model.
Jupyter notebooks for analysis of US federal debt, tax revenues, GDP, budget deficit, evolution of yields on treasury borrowings, treasury yield curves and inflation expectations, unemployment and participation rates, quantitative easing, industrial production, personal consumption and savings, stock market. Using APIs from FRED and Yahoo-Finance.
Foreign Exchange Forecasting Model created for the paper "Can Interest Rate Factors Explain Rate Fluctuations?"
Calculate effective interest, XIRR or effective APR.
Examples and code for the Practical Machine Learning workshop series
Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model
Free WordPress Plugin: The simple interest calculator can be used to provide a quick and accurate calculation of interest assessed on a loan or investment. www.calculator.io/simple-interest-calculator/
Interest-rate modeling and Fixed Income Pricing in Python
This is the data scraping & modeling code used for models shown in https://econforecasting.com.
One factor Vasicek model in Python.
In this project, I show how different combinations and components of term spread have varying shapes, which can be analyzed in order to understand movements in the economy. Calculating term spread dispersion can help us better price risk in the bond market. Term spread combinations have varying power in explaining future movements in macro variable. It shows that the spanning hypothesis of the term spread against a macro variable might hold true depending on the combination and component of term spread that we are taking into consideration. This project provides a mechanism through which we can identify the best combination of a term spread for creating an efficient macro finance model.
Replicates the script for generating the Wu Xia shadow rate term structure model in python
Free WordPress Plugin: Compound interest calculator that uses the interest formula (A = P(1 + r/n)ⁿᵗ) to help users understand the impacts of compound interest and money growth over time. www.calculator.io/compound-interest-calculator/