modeling FICC market with QuantLib
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Updated
Nov 16, 2022 - Jupyter Notebook
modeling FICC market with QuantLib
Institutional-grade cross-asset research command center powered by governed data, deterministic frameworks, and multi-model AI.
Independent public-data framework for FICC Treasury-clearing liquidity stress testing and model validation using Federal Reserve data.
🐱"FICC: retes bond quant tools"
Local-first open-source fixed-income and macro research workstation for macOS, powered by AKShare, FRED, World Bank and GDELT.
PCA decomposition of US Treasury yield curve into Level / Slope / Curvature, with a candid backtest of a PC2 mean-reversion strategy.
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