curve-construction

Here are 2 public repositories matching this topic...

redukti / PyRedukti

PyRedukti is a Python library for Interest Rate Swaps and Fras, supports bootstrapping of Interest Rate Curves, computing NPV and sensitivities using automatic/algorithmic differentiation. It wraps the OpenRedukti library.

python cython automatic-differentiation quantitative-finance sensitivities curve-construction interest-rate-products pricing-derivatives rate-swaps rate-curves

Updated Jul 5, 2023
Python

vlainic / matthews-correlation-coefficient

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MCC functions for ML

machine-learning statistics metrics keras plotting confusion-matrix loss-functions curve-construction correlation-coefficient matthews

Updated May 14, 2019
Python

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