Tools for building commodity forward, swaps, and futures curves (Python and .NET).
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Updated
May 26, 2024 - Python
Tools for building commodity forward, swaps, and futures curves (Python and .NET).
DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Optio…
An optimization task for building Forward Curve
Replication of the research paper : Catching the curl: Wavelet thresholding improves forward curve modelling
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