hy-lei / math-finance-toolbox Public

This repo hosts some code to demonstrate concepts and models in fixed income securities and mathematical finance. Many of the functions have their excel/BA-II plus equivalent. Nevertheless, it's a good exercise to implement their Python version.

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Name		Name	Last commit message	Last commit date
Latest commit History 18 Commits
toolbox		toolbox
Binomial_Branch.ipynb		Binomial_Branch.ipynb
Binomial_Tree.ipynb		Binomial_Tree.ipynb
README.md		README.md

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math-finance-exercise

Toolbox

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Methodologies

YTM and swap rate are determined using the Newton-Raphson method.
KWF branch returns the larger analytical solution.

Other Notebooks

Simple demo of concepts/models in Baxter & Rennie (1996). At present, the binomial approach to model discrete process is included.

TODO

Test cases
Demo for modelling continuous time processes
Interest rate models

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This repo hosts some code to demonstrate concepts and models in fixed income securities and mathematical finance. Many of the functions have their excel/BA-II plus equivalent. Nevertheless, it's a good exercise to implement their Python version.

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