cross-currency-basis

Here is 1 public repository matching this topic...

adambutlin / fx-basis

G10 cross-currency basis + FX carry/value/momentum factor model: a from-scratch research stack (CIP/OIS basis, Fama-MacBeth cross-sectional fair value, dollar-neutral portfolios, variance targeting, realistic costs, Newey-West inference, honest tail/skew diagnostics).

python pandas fx quantitative-finance fama-macbeth factor-investing carry-trade risk-premia covered-interest-parity cross-currency-basis

Updated Jun 25, 2026
Jupyter Notebook

Add this topic to your repo

To associate your repository with the cross-currency-basis topic, visit your repo's landing page and select "manage topics."

Learn more