project_FICC_Quant
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modeling FICC market with QuantLib
project_FICC_Quant
modeling with FICC products with QuantLib
1. Black Scholes Merton Equation
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/1_black_scholes.ipynb
[blog] https://quhiquhihi.github.io/posts/Black_Scholes_Merton/
2. Yield Curve
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/2_yield_curve.ipynb
[blog] https://quhiquhihi.github.io/posts/Yield_Curve/
3. Inverted Yield Curve
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/3_inverted_rate_curve.ipynb
4. Treasury Pricing
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/4_treasury_pricing.ipynb
[blog] https://quhiquhihi.github.io/posts/Treasury_Pricing/
5. Greeks for Bond
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/5_greeks_for_bond.ipynb
6. Swap Curve
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/6_swap_curve.ipynb
7. Forward Rate Agreement (FRA)
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/7_forward_rate_agreement.ipynb
8. Interest Rate Swap (IRS)
[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/8_Interesr_Rate_Swap.ipynb
[blog] https://quhiquhihi.github.io/posts/Interest_Rate_Swap/
9. Fx Forward
[code] hhttps://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/9_FX_forward.ipynb
Environment
Use python 3.8.10 Download from Anaconda.org