Nelson-Siegel parametric zero-coupon yield curve modeling engine fitting spot rates, decay factor, level, slope, and curvature components.
Nelson-Siegel parametric zero-coupon yield curve modeling engine fitting spot rates, decay factor, level, slope, and curvature components.
Bayesian estimation of no-arbitrage affine term structure models in Julia
Implied volatility surface fitting, SVI calibration, variance swap pricing, arbitrage detection, and greeks surfaces in Python. Uses the FlashAlpha API.
An open RFP for native fixed-term, fixed-rate lending on Flare — composing Morpho Midnight, Spectra (PT/YT) and Firelight into a real on-chain yield curve. Sister to rfp-options-flare-native.
Daily Svensson estimation of the French OAT zero-coupon curve, 1987-2026: political risk, PCA by regime and regime detection. MSc Finance thesis, University of Pavia
This repository focuses on yield-curve analytics and term-structure modelling, with emphasis on curve dynamics, Nelson-Siegel methods, forecasting, and scenario analysis.Yield Curve Analytics
Does the futures curve price the UPPER bound on gas storage? Measuring the shadow price of the containment constraint from the Henry Hub term structure. Theory in French, every estimator validated against ground truth.
Simulação da taxa de juros com o modelo CIR (Euler–Maruyama e Milstein), Monte Carlo para precificação de bonds e construção da curva a termo.
Heath-Jarrow-Morton forward-rate framework from scratch: the no-arbitrage drift condition, Gaussian-HJM bond prices & ZCB options, a Musiela forward-curve Monte Carlo, and reproductions of Ho-Lee / Hull-White (=Vasicek option vol) / G2++ from the vol structure. 35 identity tests, adversarially verified. No rates library.
Production-style, reproducible toolkit for volatility RV (VIX term structure, carry/roll-down, VRP proxy) with run manifest and reports.
With this Python code, you can calculate and visualize time series of interest rates and the term structure of interest rates for any maturity for German government bonds and covered bonds. You can also visualize the yield spread between the two bonds.
Python tools and visualizations for bond pricing, duration, convexity, and term structure analysis
Replication-style research on VIX futures signals & term structure; report published via GitHub Pages (docs/index.html)
Iron-ore futures curve research using PCA, Nelson–Siegel factors, physical proxies and procurement signals.
Short-rate models (Vasicek, CIR, Hull-White, Black-Karasinski) and Nelson-Siegel curve fitting in R, benchmarked against closed-form zero-coupon bond prices
To associate your repository with the term-structure topic, visit your repo's landing page and select "manage topics."