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 American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
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
Application of script in Fixed Income Analysis
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
I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.
Toolkit for Fixed Income instruments
Arbitrage-free Pricing of Fixed Income Securities Using Python
This repository includes the projects in the lessons that I took with datacamp.com
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.
Options and derivative terminal | Modern Bonds Search Engine.
This program calculates the price of European double-barrier knock-out calls by the use of binomial trees and Monte Carlo Simulations.
Exercises for Zazove Associates interview process. Option-free coupon bond pricing using discounted cash flow model and European stock pricing using binomial model.
Nelson Siegel parametric model
Moduł do Finance::Quote (i GnuCash) obliczający wartość polskich obligacji skarbowych.
This PowerShell script fetches U.S. Savings Bond values using the web form located at https://www.treasurydirect.gov/BC/SBCPrice
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