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.
Open source
Practice Questions using QuantLib 1.18 and Boost 17
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
This program calculates the price of European double-barrier knock-out calls by the use of binomial trees and Monte Carlo Simulations.
Arbitrage-free Pricing of Fixed Income Securities Using Python
Moduł do Finance::Quote (i GnuCash) obliczający wartość polskich obligacji skarbowych.
Application of script in Fixed Income Analysis
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.
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
Implementation of a fixed-rate bond pricer to compute various bond metrics (yield to maturity, price, duration, convexity...).
This PowerShell script fetches U.S. Savings Bond values using the web form located at https://www.treasurydirect.gov/BC/SBCPrice
Options and derivative terminal | Modern Bonds Search Engine.
This program calculates the price of American-style arithmetic average-rate calls (ARO) based on the CRR binomial tree.
I simulate the CIR85 model and derive Monte Carlo simulation estimates for Zero-Coupon Bond (ZCB) values.
Toolkit for Fixed Income instruments
Nelson Siegel parametric model
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