interest-rate-model
Here are 5 public repositories matching this topic...
Implementation of common interest rate models and their extensions.
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Oct 1, 2025 - C++
Calibrating shifted 2-factor Gaussian short-rate model with iterative simulated annealing to market cap volatilities.
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Sep 6, 2025 - C++
A Python-based framework for calibrating the Gaussian Short-Rate (GSR) interest rate model using TensorFlow and QuantLib, enabling precise and efficient swaption volatility surface fitting.
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Dec 29, 2025 - TeX
Simulation and calibration of the Vasicek short-rate model with real US Treasury data
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Jun 23, 2026 - Jupyter Notebook
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