term-structure

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

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

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.

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

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