This thesis aims to conduct a comparative analysis between two types of Italian government bonds: the conventional BTP and the inflation-indexed BTP Italia.
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Updated
Nov 20, 2023
This thesis aims to conduct a comparative analysis between two types of Italian government bonds: the conventional BTP and the inflation-indexed BTP Italia.
Practice Questions using QuantLib 1.18 and Boost 17
This program calculates the price of European double-barrier knock-out calls by the use of binomial trees and Monte Carlo Simulations.
Team project for the COVID-19 Policy Hackathon in June 2020.
The model analysis bond as an investment. It calculates the bond value, yield to maturity, interest rate sensitivity, and holding period yield
Open source
Arbitrage-free Pricing of Fixed Income Securities Using Python
Application of script in Fixed Income Analysis
Moduł do Finance::Quote (i GnuCash) obliczający wartość polskich obligacji skarbowych.
This is a small program that shows how to calculate an n-year spot rate if the n-year zero-coupon bond price moves from q% to (1+k%) *q%, where q% is the quoted price.
An intergrated platform coded for S&P Global SF pricing dept. An Excel-based pricing platform integrating excel, Database, Intex, and firm's software. Due to non-disclosure/confidentiality agreement, this is a slice of the code and some contents are omitted/masked/simplified/re-named
Implementation of a fixed-rate bond pricer to compute various bond metrics (yield to maturity, price, duration, convexity...).
This PowerShell script fetches U.S. Savings Bond values using the web form located at https://www.treasurydirect.gov/BC/SBCPrice
Options and derivative terminal | Modern Bonds Search Engine.
I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.
This program calculates the price of American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
Toolkit for Fixed Income instruments
Nelson Siegel parametric model
🚨 A web application that notifies you about Brazilian treasury bond rates.
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