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value4value / Time4valuePayment via the bonding curve and yield farming.
mcf-long-short / Fixed Income And CreditQuantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.
uruba / FinanCalc:moneybag: A lightweight, simple and easy PHP library for calculating annuities (e.g., mortgages) and other financial instruments according to various input data
shreysrins / Bond CalculatorCLI bond calculator that computes bond YTM, price, duration, and convexity.
bmoretz / Computational FinanceCollection of projects oriented around the computational finance domain.
1IfByLAN2IfByC / Diebold BondYieldRecreation of Diebold and Li: Forecasting the term structure of government bond yields in python.
BarnBridge / BarnBridge SmartYieldBondsSMART Yield allows users to tranche out the yield from the debt pools of other projects, such as Aave, Compound, or Yearn Finance to normalize the risk curve by creating derivatives for risk mitigation.
simicd / Smith Wilson PyImplementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates
reese3928 / FincomepyFixed income related calculations in Python
datasets / Bond Yields Us 10y10 year nominal yields on US government bonds from the Federal Reserve
fabriziobasso / PCAapplied And European Yield CurveThis paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) technique on the European AAA-rated Government Bond Yield curve. The PCA can greatly simplify the problem of modelling the yield curve by massively reducing its dimensionality to a small set of uncorrelated features. It finds several applications in finance and in the fixed income particularly from risk management to trade recommendation. After selecting a subset of Principal Components (PCs), this paper first analyzes their nature in comparison to the original rates and the implications in terms of information retained and lost. Then the time-series characteristics of each PC are studied and, when possible, Auto-Regressive Moving-Average (ARMA) models will be fitted on the data. One hundred observations of the original dataset are set aside as a test set to evaluate the predictive power of these models. Eventually, further analyses are performed on the PCs to evaluate the presence of heteroscedasticity and GARCH-ARCH models are fitted when possible. Tests are performed on the fitted coefficient to investigate the real nature of the conditional variance process.
Trade-Republic-Archived-Repos / Ytm StreamThis demo app streams bond Yield to Maturity (YTM) values in real-time. Kafka Streams processes bond quotes and calculates YTM, publishing results to Redis and a Kafka topic. Redis streams YTM values to the frontend via WebSockets, with a single subscription for efficiency.
luphord / Yield Curve DynamicsA cursory look at the dynamics of zero coupon bond yield curves.
SPratapSingh / GoldPrice Forecasting CNN LSTM Basedon IndiaMacroEconomicDataGold Price Prediction using CNN-LSTM and CNN-GRU model: We have built univariate and multivariate CNN-LSTM, CNN-GRU and many variants of LSTM, GRU, ARIMA, SARIMAX, SVR and feed-forward neural network to forecast next week gold price in INR. We used global indices like S&P 500, Nifty50, many macroeconomics data like GDP per capita, GNI per capita, Inflation rate, Interest rate, 10Yrs Bond yield published by Reserve Bank of India (RBI), precious metals like silver and copper prices, etc. as input to our models.
datarob / TermstrcThe R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.
grfiv / UstreasuriesReal-Time US Treasury Yields and Prices; Bond analyses and options functions including all the 'Greeks' (R Package)
SunilVeeravalli / Bond ValuationsComputation of bond value
dpicone1 / NelsonSiegelSvenssonThe Nelson-Siegel and its extension Nelson-Siegel-Svensson are two of the most popular yield curve models They are very useful when we do not have nicely spaced bond quotes data to build the discounting factors. Sometimes up until certain maturies there are two many bonds compared with the number of maturities, and not sufficient bonds thereafter. Very often, there are multiple bonds maturiting in the same months. However there are several issues when trying to calibrate the model on real market data. The first python notebook contains an introduction. We are working on a second notebook which will deal with a more robust caibration
datasets / Bond Yields Gov Long TermLong term government bond yields
