Back to directoryResource
FinancePy
Github Repo
by domokane
Tags
credit derivativesderivatives pricingfixed incomeforexpythonrisk analytics
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for rates and fixed income. Specialist prerequisites vary by resource.
Before you read
- The Bank Account, Short Rate, and the Fundamental Pricing Equation
Understand discounting in a stochastic-rate model.
- DV01, Dollar Duration, and One-Factor Price Sensitivity
Translate yield movements into first-order price risk.
Go further
- Bootstrapping the Spot Curve from Market Instruments
Build a consistent discount curve.
- The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution
Study a tractable mean-reverting rate model.