smith-wilson

All Python algorithms published by Open Source Modelling in one place.

Implementation of the Smith-Wilson yield curve fitting algorithm in Python for interpolations and extrapolations of zero-coupon bond rates

All Jupyter Notebooks implemented by Open Source Modelling in one place.

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in Python.

All Matlab algorithms published by Open Source Modelling in one place.

All JavaScript algorithms published by OSM in one place.

Simple bisection method that finds the optimal parameter α for the Smith & Wilson algorithm.

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.

Example of recalculation of the EIOPA RFR curve.

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.

Implementazione dell'algoritmo Smith & Wilson per l'interpolazione e/o l'estrapolazione dei tassi di interesse mancanti in Python.

Implementation of the Smith & Wilson algorithm for interpolation and/or extrapolation of missing interest rates in JavaScript.

Validation checks for EIOPA technical submissions written and documented in Jupyter notebooks.

Stylised UK DB pension scheme model with Smith-Wilson curve extrapolation, dual-curve discounting, 33-way LDI overlay sweep, and a 2022 gilt crisis collateral tracker. Python pipeline + interactive Plotly dashboard.