Cash flow and analytics engine for mortgage-backed securities (MBS)
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Apr 5, 2022 - C++
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structured-products
Here are 24 public repositories matching this topic...
Web application creating PDF backtesting reports for autocalls
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Oct 12, 2018 - Python
Modular multi-asset-class Monte Carlo engine for pricing exotic derivatives and structured products with calibrated implied volatility surfaces (Heston, local vol, SVI) and a user-friendly Django web interface.
monte-carlo derivatives structured-products pricing-engine stochastic-volatility quant-finance volatility-surface local-volatility
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Dec 3, 2025 - Python
Worst-of Phoenix autocallable pricer on Euro Stoxx 50 / S&P 500 / Nikkei 225: Lewis characteristic-function Heston calibrated to the live option surface, Cholesky-correlated multi-asset Monte Carlo, memory coupons and European knock-in, fair-coupon solver and the skew premium the desk hedges.
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Jun 23, 2026 - Python
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Oct 16, 2024 - Jupyter Notebook
A vanilla and exotic options pricing repository
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Jul 31, 2025 - Jupyter Notebook
Mathema Calculation Plus - Excel
monte-carlo-simulation quantitative-finance financial-library financial-mathematics derivatives-pricing options-pricing financial-modeling structured-products volatility-modeling yield-curves stochastic-volatility local-volatility fx-volatility stochastic-local-volatility ficc-derivatives fxoptions-pricing fx-volatility-surface pyxll-excel-fiancial financial-excel-template
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Sep 23, 2025 - Python
Pseudo delta neutral strategy built on top of Rivera ALM vaults.
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Jan 23, 2024 - Solidity
A prototype project that trains LightGBM models to approximate Monte Carlo (MC) pricing of different derivative payoffs.
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Feb 24, 2026 - Jupyter Notebook
Construct volatility surfaces from live equity options data using no-arbitrage constraints, SVI calibration, and provide local vol, Greeks, and diagnostics.
python monte-carlo derivatives quantitative-finance black-scholes financial-engineering implied-volatility svi options-pricing structured-products pricing-engine stochastic-volatility streamlit volatility-smile quant-finance volatility-surface local-volatility arbitrage-free
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Jun 23, 2026 - Python
Monte Carlo pricer for Athena structured products using local volatility and CIR interest rate models.
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Nov 10, 2025 - Python
BarnBridge APIs.json profile
ethereum blockchain yield defi structured-products apis-json naftiko risk-tokenization smart-yield tranches
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Jun 20, 2026
The DeFi prime broker L1 on Reth. Lending → options → structured products → institutional rails.
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Jun 3, 2026 - Rust
Bloomberg Valuation Service (BVAL) is Bloomberg's evaluated pricing service providing independent fair value prices for over 2.5 million fixed income securities including corporate bonds, municipal bonds, government securities, structured products, and derivatives.
bloomberg fixed-income bond-pricing bval structured-products apis-json fair-value municipal-bonds naftiko evaluated-pricing
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Jun 20, 2026
Options and structured products risk engine for volatility, barrier probability, fixing and early unwind workflows.
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May 17, 2026 - Python
Multi-model tranche pricing of Paris residential rental cash flows: Gaussian / Student-t / Cox copulas, Vasicek short rate, Andersen-Sidenius-Basu waterfall, antithetic + Sobol Monte Carlo. Working paper, dashboard, full reproducibility.
real-estate python latex monte-carlo quantitative-finance copula cdo credit-risk structured-products vasicek tranche-pricing
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May 24, 2026 - Python
A modular analytics framework to evaluate structured products, simulate payoff outcomes under market scenarios, and aggregate portfolio-level risk and return.
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Jun 4, 2026 - Python
Structured products on Sui, settled on DeepBook Predict — a live BTC options chain, volatility desk, NLP-de-correlated event baskets, and principal-protected notes, all wallet-signed on testnet.
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Jun 22, 2026 - TypeScript
BRC pricer with interactive volatility surface. Monte Carlo + skew-adjusted vol. Built to understand why flat vol misprices barrier products.
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Apr 16, 2026 - HTML
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