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.

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

reference implementation

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

Mortgage Valuation, Transfer Pricing, Hedging

Where the trading desk meets the chain. Open-source derivatives desk: rates, FX and crypto forwards, XVA, SIMM, and bilateral confirmation anchored on Ethereum (Sepolia).

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.

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.

ABCD demo

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

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

Hedging mortgage prepayment risk with swaption portfolios (Black-76)

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.