swaptions

Parallel Patterns Implementation of PARSEC Benchmark Applications

QLDDS - Data Distribution Service for QuantLib

European Options Pricer for Equity Index, FX, Interest Rate Swaptions and CDS Swaptions

This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.

reference implementation

Replication of "Variance Risk Premia in the Interest Rate Swap market" paper (2016) by Desi Volker PhD

This project aims to implement the Hull & While One Factor model and apply it to price Bermudan Swaptions.

Mortgage Valuation, Transfer Pricing, Hedging

Institutional-grade derivatives pricing and risk. Open source. IRS · Swaptions · XVA · SABR vol surface · Joint rate+vol scenarios.

ML | Quant Finance | Quantum Computing: Photonic Quantum Reservoir vs LSTM for swaption volatility forecasting.

ABCD demo

Bermudan Receiver Swaption pricing using the Libor Market Model (LMM) under the spot measure, with Andersen (1999) primal-dual algorithm for optimal exercise boundaries. EPFL Advanced Derivatives project.

LaTeX source codes

Calibration of the Hull-White one-factor model on €STR data (AR(1) & MLE) and swaption pricing under three equivalent measures — Monte Carlo and Trinomial Tree.

Python implementation of European swaption pricing using the Black model and forward swap rate framework.

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.

Pricing of a EUR Receiver Bermudan Swaption using a lognormal market model, Black-76 calibration and recombining binomial trees.

Swaption market-making lab. Single-tenor vega is a mirage, the cube moves in factors.