covered-interest-parity

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Guilou001 / 13-couverture-de-change

Couvrir le USD, ou pas : XSP reconstruit par la parité couverte des taux (corr 0,995, écart +93 pb/an expliqué), et le verdict mesuré : la couverture AUGMENTE le risque d'un panier d'actions US vu du Canada (corr USD/actions -0,59, ratio optimal ~0). Données FRED/Valet/Yahoo libres.

python canada fx etf minimum-variance currency-hedging covered-interest-parity gestion-de-portefeuille

Updated Aug 30, 2026
Python

amfranciscomarques-dot / cross-rates

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FX cross-rates and triangular-arbitrage toolkit in Python: spot/forward pricing, no-arbitrage checks and worked exercises.

python finance fx quantitative-finance arbitrage financial-engineering foreign-exchange covered-interest-parity

Updated Jun 22, 2026
Python

adambutlin / fx-basis

Star

G10 cross-currency basis + FX carry/value/momentum factor model: a from-scratch research stack (CIP/OIS basis, Fama-MacBeth cross-sectional fair value, dollar-neutral portfolios, variance targeting, realistic costs, Newey-West inference, honest tail/skew diagnostics).

python pandas fx quantitative-finance fama-macbeth factor-investing carry-trade risk-premia covered-interest-parity cross-currency-basis

Updated Jun 25, 2026
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