open-source-modelling/Nelson_Siegel_Svansson_python_ita

Algoritmo popolare per adattare una curva dei rendimenti a dati osservati.

Language: Python - Size: 4.88 KB - Last synced: about 2 months ago - Pushed: 8 months ago - Stars: 2 - Forks: 1

open-source-modelling/smith-wilson_javascript

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.

Language: JavaScript - Size: 30.3 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 4 - Forks: 1

open-source-modelling/two_factor_vasicek_python

Simple Two factor Vasicek model of inflation.

Language: Python - Size: 64.5 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 2 - Forks: 3

open-source-modelling/stationary_bootstrap_matlab

Resampling procedure for weakly dependent stationary observations.

Language: MATLAB - Size: 15.6 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 3 - Forks: 1

open-source-modelling/Smith_Wilson_python

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in Python.

Language: Python - Size: 187 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 9 - Forks: 1

open-source-modelling/one_factor_Hull_White_python

Simple implementation of the one factor Hull-White model of short rates.

Language: Python - Size: 25.4 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 5 - Forks: 2

open-source-modelling/EIOPA_Smith_Wilson_test

Example of recalculation of the EIOPA RFR curve.

Language: Jupyter Notebook - Size: 1.23 MB - Last synced: about 2 months ago - Pushed: 5 months ago - Stars: 3 - Forks: 1

open-source-modelling/Light_Economic_Generator

Open-source stochastic economic scenario generator.

Language: HTML - Size: 480 KB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 3 - Forks: 0

open-source-modelling/insurance_python

All Python algorithms published by Open Source Modelling in one place.

Language: Jupyter Notebook - Size: 51.6 MB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 32 - Forks: 5

open-source-modelling/Open_Source_Economic_Model

First open-source asset-liability model.

Language: Jupyter Notebook - Size: 84.1 MB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 9 - Forks: 3

open-source-modelling/stationary_bootstrap_python

Resampling procedure for weakly dependent stationary observations.

Language: Jupyter Notebook - Size: 112 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 4 - Forks: 1

open-source-modelling/correlated_brownian_motion_matlab

n dimensional Brownian motion with an arbitrary mean and Variance Covariance matrix.

Language: MATLAB - Size: 15.6 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 6 - Forks: 1

open-source-modelling/Hull_White_properties_python

Mathematical derivation for properties of the Hull White short rate model.

Language: Jupyter Notebook - Size: 1.24 MB - Last synced: about 2 months ago - Pushed: 11 months ago - Stars: 3 - Forks: 1

open-source-modelling/Metropolis_Hastings_Black_Sholes_ESG

Bayesian maximum likelihood of a Black Sholes stochastic scenario generator.

Language: Jupyter Notebook - Size: 42 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 4 - Forks: 0

open-source-modelling/Vasicek_one_factor_python

One factor Vasicek model in Python.

Language: Python - Size: 46.9 KB - Last synced: about 2 months ago - Pushed: 10 months ago - Stars: 6 - Forks: 2

open-source-modelling/Nelson_Siegel_Svansson_python

Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.

Language: Python - Size: 41 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 13 - Forks: 2

open-source-modelling/Smith_Wilson_italiano_python

Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.

Language: Python - Size: 20.5 KB - Last synced: about 2 months ago - Pushed: 8 months ago - Stars: 3 - Forks: 1

open-source-modelling/Black_Sholes_italiano_python

Modello di Black-Scholes per simulare il prezzo di un' tittolo.

Language: Python - Size: 7.81 KB - Last synced: about 2 months ago - Pushed: 8 months ago - Stars: 3 - Forks: 1

open-source-modelling/EIOPA_Monthly_rfr_check

Validation checks for EIOPA technical submissions written and documented in Jupyter notebooks.

Language: Jupyter Notebook - Size: 256 MB - Last synced: about 2 months ago - Pushed: 8 months ago - Stars: 3 - Forks: 0

open-source-modelling/Vasicek_un_fattore_python_ita

Simula una serie temporale di tassi utilizzando il modello Vasicek a un fattore.

Language: Python - Size: 5.86 KB - Last synced: about 2 months ago - Pushed: 8 months ago - Stars: 2 - Forks: 0

open-source-modelling/test_smith_wilson

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.

Language: Vue - Size: 2.18 MB - Last synced: about 2 months ago - Pushed: over 2 years ago - Stars: 3 - Forks: 1

open-source-modelling/dothan_one_factor_python

Python implementation of the Dothan short-rate model.

Language: Python - Size: 7.81 KB - Last synced: about 2 months ago - Pushed: 10 months ago - Stars: 2 - Forks: 1

open-source-modelling/Hull_White_stochastic_scenarios_checks_python

Demonstration of a test that checks if a stochastic scenario generator accurately covers the term structure.

Language: Jupyter Notebook - Size: 37 MB - Last synced: about 2 months ago - Pushed: 7 months ago - Stars: 3 - Forks: 1

open-source-modelling/bootstrap_stazionario_italiano_python

Un metodo di campionamento a blocchi per serie storiche debolmente dipendenti.

Language: Python - Size: 5.86 KB - Last synced: about 2 months ago - Pushed: 8 months ago - Stars: 3 - Forks: 1

open-source-modelling/insurance_jupyter

All Jupyter Notebooks implemented by Open Source Modelling in one place.

Language: Jupyter Notebook - Size: 274 MB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 5 - Forks: 1

open-source-modelling/insurance_matlab

All Matlab algorithms published by Open Source Modelling in one place.

Language: MATLAB - Size: 164 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 7 - Forks: 1

open-source-modelling/lifelib Fork of lifelib-dev/lifelib

Python package of actuarial models, tools, examples and learning materials.

Language: Jupyter Notebook - Size: 21.1 MB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 3 - Forks: 0

open-source-modelling/insurance_solidity

All Solidity algorithms published by OSM in one place.

Language: Solidity - Size: 82 KB - Last synced: about 2 months ago - Pushed: 10 months ago - Stars: 2 - Forks: 1

open-source-modelling/assicurazione_python

Tutti gli algoritmi con documentazione italiana, scritti in Python, in un unico posto.

Language: Python - Size: 262 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 2 - Forks: 1

open-source-modelling/black_sholes_python

Black and Sholes model for simulating the stock market in Python.

Language: Python - Size: 46.9 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 4 - Forks: 1

open-source-modelling/website

Size: 123 KB - Last synced: 11 months ago - Pushed: about 1 year ago - Stars: 0 - Forks: 0

open-source-modelling/binomial_tree_option_pricing_python

Simple binomial tree pricing algorithm to calculate the price of an European call or put option.

Language: Jupyter Notebook - Size: 6.84 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 2 - Forks: 1

open-source-modelling/stationary_bootstrap_callibration_python

Automatic calibration of the stationary bootstrap algorithm.

Language: Python - Size: 14.6 KB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 2 - Forks: 1

open-source-modelling/nelson_siegel_svansson_matlab

Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.

Language: MATLAB - Size: 31.3 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 2 - Forks: 1

open-source-modelling/bootstrap_solidity

Simple smart contract for the bootstrap algorithm.

Language: Solidity - Size: 23.4 KB - Last synced: about 2 months ago - Pushed: over 1 year ago - Stars: 4 - Forks: 2

open-source-modelling/correlated_brownian_motion_python

Generate correlated Brownian motions in JavaScript.

Language: Python - Size: 38.1 KB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 2 - Forks: 1

open-source-modelling/bisection_alpha_python

Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm.

Language: Python - Size: 34.2 KB - Last synced: about 2 months ago - Pushed: 2 months ago - Stars: 3 - Forks: 1

open-source-modelling/smith_wilson_matlab

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.

Language: MATLAB - Size: 20.5 KB - Last synced: about 2 months ago - Pushed: 12 months ago - Stars: 3 - Forks: 1

open-source-modelling/insurance_javascript

All JavaScript algorithms published by OSM in one place.

Language: JavaScript - Size: 75.2 KB - Last synced: about 2 months ago - Pushed: 11 months ago - Stars: 5 - Forks: 1