4 projects
pymgarch
Multivariate GARCH for Python: DCC, ADCC, CCC on top of arch marginals, validated against rmgarch/tsmarch.
svi-py
Stochastic volatility inspired (SVI) parametrizations of the implied volatility surface, plus the SABR model, in Python!
polygon-options-puller
Pull any Polygon (Massive) flat file from S3 and store it locally as Parquet, Feather, CSV, JSONL or a raw mirror
interest-rate-models
Classic interest rate models in Python: Vasicek, CIR, Ho-Lee, Hull-White, G2++, HJM, and the LIBOR Market Model.
