Finance R program - bond pricing, option pricing, and others
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Updated
Apr 7, 2016 - R
Finance R program - bond pricing, option pricing, and others
This repository includes the projects in the lessons that I took with datacamp.com
This program calculates the price of American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
This is an example of a program that creates a binomial tree to calculate the prices of a standard European put and an American put (assuming it can be exercised only in the last quarter of the option's life).
This program calculates the price of European double-barrier knock-out calls by the use of binomial trees and Monte Carlo Simulations.
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.
Artificial Neural Network - Corporate Investment Grade Bond Rating
Calculates Bond Valuations
Collection of projects oriented around the computational finance domain.
Python class and jupyter iPython notebook for pricing a fixed coupon bond
Exercises for Zazove Associates interview process. Option-free coupon bond pricing using discounted cash flow model and European stock pricing using binomial model.
This PowerShell script fetches U.S. Savings Bond values using the web form located at https://www.treasurydirect.gov/BC/SBCPrice
I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.
Open source
Practice Questions using QuantLib 1.18 and Boost 17
Arbitrage-free Pricing of Fixed Income Securities Using Python
Computation of bond value
Financial Models using vba script and Python
FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.
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