term-structure

Bayesian estimation of no-arbitrage affine term structure models in Julia

Implied volatility surface fitting, SVI calibration, variance swap pricing, arbitrage detection, and greeks surfaces in Python. Uses the FlashAlpha API.

An open RFP for native fixed-term, fixed-rate lending on Flare — composing Morpho Midnight, Spectra (PT/YT) and Firelight into a real on-chain yield curve. Sister to rfp-options-flare-native.

Heath-Jarrow-Morton forward-rate framework from scratch: the no-arbitrage drift condition, Gaussian-HJM bond prices & ZCB options, a Musiela forward-curve Monte Carlo, and reproductions of Ho-Lee / Hull-White (=Vasicek option vol) / G2++ from the vol structure. 35 identity tests, adversarially verified. No rates library.

With this Python code, you can calculate and visualize time series of interest rates and the term structure of interest rates for any maturity for German government bonds and covered bonds. You can also visualize the yield spread between the two bonds.

Python tools and visualizations for bond pricing, duration, convexity, and term structure analysis

Simulação da taxa de juros com o modelo CIR (Euler–Maruyama e Milstein), Monte Carlo para precificação de bonds e construção da curva a termo.

This repository focuses on yield-curve analytics and term-structure modelling, with emphasis on curve dynamics, Nelson-Siegel methods, forecasting, and scenario analysis.Yield Curve Analytics

Replication-style research on VIX futures signals & term structure; report published via GitHub Pages (docs/index.html)

Production-style, reproducible toolkit for volatility RV (VIX term structure, carry/roll-down, VRP proxy) with run manifest and reports.

Does the futures curve price the UPPER bound on gas storage? Measuring the shadow price of the containment constraint from the Henry Hub term structure. Theory in French, every estimator validated against ground truth.