modeling FICC market with QuantLib
-
Updated
Nov 16, 2022 - Jupyter Notebook
modeling FICC market with QuantLib
FICC利率债的trading 模拟,久期概念
Institutional-grade cross-asset research command center powered by governed data, deterministic frameworks, and multi-model AI.
PCA decomposition of US Treasury yield curve into Level / Slope / Curvature, with a candid backtest of a PC2 mean-reversion strategy.
Add a description, image, and links to the ficc topic page so that developers can more easily learn about it.
To associate your repository with the ficc topic, visit your repo's landing page and select "manage topics."