term-structure

Bayesian estimation of no-arbitrage affine term structure models in Julia

Implied volatility surface fitting, SVI calibration, variance swap pricing, arbitrage detection, and greeks surfaces in Python. Uses the FlashAlpha API.

An open RFP for native fixed-term, fixed-rate lending on Flare — composing Morpho Midnight, Spectra (PT/YT) and Firelight into a real on-chain yield curve. Sister to rfp-options-flare-native.

Yield curve and credit spread projections to 2100 under SSP climate transition scenarios

Empirical analysis of the VIX1D–VIX9D–VIX short-end term structure across S&P 500 historical-volatility regimes.

Short-rate models (Vasicek, CIR, Hull-White, Black-Karasinski) and Nelson-Siegel curve fitting in R, benchmarked against closed-form zero-coupon bond prices

Production-style, reproducible toolkit for volatility RV (VIX term structure, carry/roll-down, VRP proxy) with run manifest and reports.

Replication-style research on VIX futures signals & term structure; report published via GitHub Pages (docs/index.html)

Iron-ore futures curve research using PCA, Nelson–Siegel factors, physical proxies and procurement signals.

Simulação da taxa de juros com o modelo CIR (Euler–Maruyama e Milstein), Monte Carlo para precificação de bonds e construção da curva a termo.

Daily Svensson estimation of the French OAT zero-coupon curve, 1987-2026: political risk, PCA by regime and regime detection. MSc Finance thesis, University of Pavia

Python tools and visualizations for bond pricing, duration, convexity, and term structure analysis

Heath-Jarrow-Morton forward-rate framework from scratch: the no-arbitrage drift condition, Gaussian-HJM bond prices & ZCB options, a Musiela forward-curve Monte Carlo, and reproductions of Ho-Lee / Hull-White (=Vasicek option vol) / G2++ from the vol structure. 35 identity tests, adversarially verified. No rates library.

With this Python code, you can calculate and visualize time series of interest rates and the term structure of interest rates for any maturity for German government bonds and covered bonds. You can also visualize the yield spread between the two bonds.

Energy futures curves, carry backtests, gas-storage valuation and crack-spread options on public EIA data.

dashboard for analyzing VIX futures term structure

This repository focuses on yield-curve analytics and term-structure modelling, with emphasis on curve dynamics, Nelson-Siegel methods, forecasting, and scenario analysis.Yield Curve Analytics

What futures curves say about commodity markets: contango, backwardation and inventories across 95 China and US futures markets, with pre-registered tests

Real-time 0DTE Gold Options Intelligence for TradingView — Lognormal SD Ranges, Multi-Asset Basis Shift (GC/GOLD.F/XAUUSD), and Forward Vol Engine

Nelson-Siegel parametric zero-coupon yield curve modeling engine fitting spot rates, decay factor, level, slope, and curvature components.