PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic simulation.
-
Updated
Aug 28, 2021 - Python
#
hull-white
Here are 33 public repositories matching this topic...
All Python algorithms published by Open Source Modelling in one place.
python bootstrap insurance risk-analysis risk calibration free risk-models actuarial risk-management singular-spectrum-analysis life-insurance hull-white actuarial-statistics bisection-method capital-markets actuarial-modeling smith-wilson solvency2 stationary-bootstrap
-
Updated
Nov 7, 2026 - Jupyter Notebook
Short-rate interest rate models in C++: Vasicek, CIR, Hull-White, Ho-Lee and more, with simulation code.
cpp quantitative-finance stochastic-processes fixed-income hull-white cir-model vasicek interest-rate-models short-rate-models
-
Updated
Feb 17, 2024 - C++
Stochastic path simulation, derivatives pricing and risk analytics in Python: Heston, Hull-White, G2++, CIR, Merton, SABR, Monte Carlo pricing, exposure/CVA and backtesting.
python simulation python-library monte-carlo-simulation quantitative-finance stochastic-processes cva ornstein-uhlenbeck hull-white heston-model derivatives-pricing xva geometric-brownian-motion
-
Updated
Oct 15, 2026 - Python
Classical models implemented from a Markov operator's perspective
markov-model markov-chain markov-chain-monte-carlo markovian-processes stochastic-models nelson-siegel hull-white log-normal local-vol
-
Updated
Jun 1, 2018 - Python
Calibrating Hull-White and other short-rate models to market data with QuantLib-Python.
python quantlib quantitative-finance model-calibration fixed-income hull-white interest-rate-models short-rate-models
-
Updated
Apr 27, 2024 - Jupyter Notebook
Validation framework for a monthly Economic Stochastic Generator.
python stochastic-processes actuarial black-scholes hull-white actuarial-modeling libor-market-model
-
Updated
Feb 14, 2025 - Jupyter Notebook
Open-source stochastic economic scenario generator.
-
Updated
Nov 5, 2026 - Jupyter Notebook
Quant. Research project - Cutting-Edge project (In collaboration with Milliman & University of Paris-Saclay)
simulation quantitative-finance interest-rates black-scholes computational-finance european-options equity-index hull-white derivatives-pricing cir-model vasicek heston cox-ingersoll-ross
-
Updated
Aug 7, 2023 - Jupyter Notebook
Production-grade Hull-White Bermudan swaption pricing engine with C++17 analytics, pybind11 bindings, FRED/DuckDB data ingestion, Ray distribution, gRPC delivery, mathematical invariants, CI wheels, and Streamlit visualization.
-
Updated
Jun 22, 2026 - Python
Arithmetic Asian option pricing: Hull-White lattice vs Monte Carlo, with a convergence and accuracy-versus-speed study on real AAPL data
python monte-carlo-simulation quantitative-finance numerical-methods hull-white binomial-tree options-pricing asian-option
-
Updated
Jun 13, 2026 - Python
Financial Engineering in IRFX in C++
cmake python-bindings curve-construction pybind11 monte-carlo-methods derivative-pricing hull-white lmm sabr-model stochastic-volatility interest-rate-derivatives exotic-options hjm
-
Updated
Mar 1, 2024 - Jupyter Notebook
Mathematical derivation for properties of the Hull White short rate model.
-
Updated
Sep 29, 2026 - Jupyter Notebook
This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.
python jupyter-notebook derivatives model-calibration pde fixed-income swaptions hull-white pde-solver derivatives-pricing options-pricing bermudan-option options-calculator short-rates quant-finance interest-rate-derivatives bachelier-model fixed-income-analytics interest-rate-models fixed-income-modeling
-
Updated
Mar 19, 2026 - Jupyter Notebook
Dynamic Term Structure Modeling & Arbitrage-Free Interest Rate Simulation: A research-level fixed income quant project implementing a full interest rate modeling pipeline from raw Treasury data to derivative pricing and risk analysis.
pca-analysis interest-rates yield-curve fixed-income g2 nelson-siegel hull-white zero-coupon vasicek-model cox-ingersoll-ross heath-jarrow-morton hjm
-
Updated
Mar 3, 2026 - Jupyter Notebook
Python pricing library built on QuantLib: curves, fixed income, derivatives, exotic options, stochastic simulation, and XVA.
python monte-carlo quantlib derivatives option-pricing asset-pricing yield-curve hull-white xva vasicek cox-ingersoll-ross
-
Updated
Aug 11, 2026 - Python
自研利率研究库：曲线 bootstrap、Nelson-Siegel/Svensson、Vasicek/CIR/Hull-White、债券与利率互换定价、关键利率久期。
-
Updated
Nov 5, 2026 - Python
A high-performance neural engine for calibrating the Heston-Hull-White stochastic model. Features 50-core parallel data generation and 3D risk-sensitivity (Vega) manifolds.
neural-networks high-performance-computing quantitative-finance stochastic-differential-equations hull-white heston-stochastic-volatility
-
Updated
Feb 5, 2026 - Jupyter Notebook
FFT, Monte Carlo, and finite difference
option-pricing quantitative-finance hull-white heston-model heston stochastic-volatility heston-stochastic-volatility
-
Updated
Oct 9, 2021 - C++
Monte Carlo counterparty credit risk engine: Hull-White exposure simulation, EE/PFE, unilateral CVA, netting and collateral (CSA) for an interest-rate swap portfolio.
python monte-carlo-simulation quantitative-finance cva risk-management financial-engineering hull-white derivatives-pricing xva counterparty-credit-risk interest-rate-swaps
-
Updated
Oct 4, 2026 - Python
Add this topic to your repo
To associate your repository with the hull-white topic, visit your repo's landing page and select "manage topics."