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Cross-Sectional-Factor-Backtester
Cross-Sectional-Factor-Backtester PublicPoint-in-time factor backtester for US large caps, 2010 to 2026: SEC XBRL fundamentals joined on filing date, costs charged on every dollar traded, deflated Sharpe over every logged specification. …
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CDS-Pricing-and-Bootstrapping
CDS-Pricing-and-Bootstrapping PublicSingle-name CDS pricer and hazard rate bootstrap on ISDA Standard Model conventions, matched to QuantLib's IsdaCdsEngine to float precision, with CS01, rec01 both ways, IR01, JTD, theta, a scenario…
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Macro-Regime-Classifier
Macro-Regime-Classifier PublicReal time macro regime classifier: an expanding window Gaussian HMM on US rates, inflation, growth, the dollar, oil and equity vol, built on ALFRED vintages so each month's label uses only data pub…
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