PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.

All Python algorithms published by Open Source Modelling in one place.

Classical models implemented from a Markov operator's perspective

Open-source stochastic economic scenario generator.

Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)

Mathematical derivation for properties of the Hull White short rate model.

Financial Engineering in IRFX in C++

A Python-based framework for calibrating the Gaussian Short-Rate (GSR) interest rate model using TensorFlow and QuantLib, enabling precise and efficient swaption volatility surface fitting.

Python implementation of the Heston-Hull & White model for modelling price processes under stochastic volatility and interest rates. Includes a sample use case demonstrating calibration to historical interest rate and option data.

In this jupyter notebook an attempt was made to predict interest rate movements by Monte Carlo Simulations using the Vasicek, Cox-Ingerson-Ross, and Hull & White Model