Interesting Rates Code

Thomas Viehmann tv@interestingrates.de

In this repository I collect sample code around topics in financial and risk modelling and interest rates in particular.

I mainly use Jupyter notebooks and pytorch.

Highlights:

Interest-Rate-Models

• A one-factor CIR++ model (Cox-Ingersoll-Ross plus shift extension)
• A one-factor Hull-White model

Yield-Curve

• A small notebook on the Nelson-Siegel-Svensson method

The fine print

Note that these models are provided for educational and informative purposes only. I shall not be liable for any (mis-) behaviour, mathematical mistakes, bugs or other.

I have written them in my spare time / vacation and they do not reflect work or opinions of my employer.