Bayesian estimation of no-arbitrage affine term structure models in Julia
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May 3, 2026 - Julia
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term-structure
Here are 9 public repositories matching this topic...
Implied volatility surface fitting, SVI calibration, variance swap pricing, arbitrage detection, and greeks surfaces in Python. Uses the FlashAlpha API.
python options quantitative-finance implied-volatility greeks realized-volatility svi variance-swap volatility-surface term-structure arbitrage-detection options-analytics volatility-skew
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Jun 16, 2026 - Python
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.
kinetic xrp spectra lending flare yield-curve morpho fixed-income rfp defi firelight term-structure fixed-term fixed-rate credit-spread fxrp yield-derivatives
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May 31, 2026
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.
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Jun 28, 2026 - Python
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.
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Jul 5, 2026 - Python
Replication-style research on VIX futures signals & term structure; report published via GitHub Pages (docs/index.html)
finance research jupyter-notebook quant research-project futures volatility vix carry term-structure
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Feb 24, 2026 - Jupyter Notebook
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
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Mar 22, 2026 - Jupyter Notebook
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.
python simulation monte-carlo quantitative-finance sde interest-rates yield-curve cir bond-pricing stochastic-calculus euler-maruyama short-rates milstein term-structure
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Nov 17, 2025 - Jupyter Notebook
Production-style, reproducible toolkit for volatility RV (VIX term structure, carry/roll-down, VRP proxy) with run manifest and reports.
python risk reproducibility volatility backtesting vix carry relative-values term-structure variance-risk-premium
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Feb 24, 2026 - Python
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