Cash flow and analytics engine for mortgage-backed securities (MBS)
-
Updated
Apr 5, 2022 - C++
#
structured-products
Here are 24 public repositories matching this topic...
Web application creating PDF backtesting reports for autocalls
-
Updated
Oct 12, 2018 - 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.
-
Updated
Jun 26, 2026 - 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
-
Updated
Dec 3, 2025 - Python
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
-
Updated
Sep 23, 2025 - Python
-
Updated
Oct 16, 2024 - Jupyter Notebook
A vanilla and exotic options pricing repository
-
Updated
Jul 31, 2025 - Jupyter Notebook
Pseudo delta neutral strategy built on top of Rivera ALM vaults.
-
Updated
Jan 23, 2024 - Solidity
A prototype project that trains LightGBM models to approximate Monte Carlo (MC) pricing of different derivative payoffs.
-
Updated
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
-
Updated
Jun 28, 2026 - Python
Monte Carlo pricer for Athena structured products using local volatility and CIR interest rate models.
-
Updated
Nov 10, 2025 - Python
The DeFi prime broker L1 on Reth. Lending → options → structured products → institutional rails.
-
Updated
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
-
Updated
Jun 20, 2026
Options and structured products risk engine for volatility, barrier probability, fixing and early unwind workflows.
-
Updated
May 17, 2026 - Python
BarnBridge APIs.json profile
ethereum blockchain yield defi structured-products apis-json naftiko risk-tokenization smart-yield tranches
-
Updated
Jun 27, 2026
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
-
Updated
May 24, 2026 - Python
BRC pricer with interactive volatility surface. Monte Carlo + skew-adjusted vol. Built to understand why flat vol misprices barrier products.
-
Updated
Apr 16, 2026 - HTML
Modelling of structured products according to the Swiss structured products association (sspa)
-
Updated
Jun 16, 2026 - Haskell
A modular analytics framework to evaluate structured products, simulate payoff outcomes under market scenarios, and aggregate portfolio-level risk and return.
-
Updated
Jun 4, 2026 - Python
Improve this page
Add a description, image, and links to the structured-products topic page so that developers can more easily learn about it.
Add this topic to your repo
To associate your repository with the structured-products topic, visit your repo's landing page and select "manage topics."