Awesome

math-finance-exercise

Toolbox

Availability:

• Yield to Maturity (YTM)
• Present Value (PV)
• Future Value (FV)
• Number of Periods (N)
• Swap Rate (swap_rate)
• Interest rate models: KWF branch

Methodologies

• YTM and swap rate are determined using the Newton-Raphson method.
• KWF branch returns the larger analytical solution.

Other Notebooks

Simple demo of concepts/models in Baxter & Rennie (1996). At present, the binomial approach to model discrete process is included.

TODO

• Test cases
• Demo for modelling continuous time processes
• Interest rate models