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awesome-quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)

bvar_forge

repo to upload some scripts for review

bvar_workspace

credit-project

fixed-income-dashboards

Various Fixed Income projects

git-test

Connecting Git for Version Control

ns-to-bl-project

Generating Views on Corporate Bonds using a measure of relative value as determined by the Nelson-Siegel Model. Views are incorporated into a portfolio optimization using the Black-Litterman model.

pyportfolioopt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity

qrm

qrm

termstrc

The R package offers a wide range of functions for term structure estimation based on static and dynamic coupon bond and yield data sets. The implementation focuses on the cubic splines approach of McCulloch (1971, 1975) and the Nelson and Siegel (1987) method with extensions by Svensson (1994), Diebold and Li (2006) and De Pooter (2007). We propose a weighted constrained optimization procedure with analytical gradients and a globally optimal start parameter search algorithm. Extensive summary statistics and plots are provided to compare the results of the different estimation methods. Several demos are available using data from European government bonds and yields.

test_github_pages

testing github pages