MTH9878_Interest_Rate_Model

This repo contains projects for Spring2017 MTH9878 Interest Rate Models class

HW1 - Project 1

• Kernel version: Python 2.7
• Packages: pandas, numpy, datetime, matplotlib, scipy
• Data: From given xls file: DataSheetCurve.xls
• Notes:
  • The discount factor function (dist) contains the option that the inserest rate is not constant, i.e., a function of time
  • The f_const, f_instant examples are arbitrary, and can be modified to the corresponding constant or function.
• Defined funcitons to compute discount factor, LIBOR/OIS forward rates, LIBOR/OIS instantaneous rate, and present value of a swap.
• Also defined numerical method (simpson's rule) to compute the integration