Jan Miksa
Flexible playground for instrument rate model simulations and visualizations. 📈
- Hydra-based configurability
- Multiprocessed chain sampling
- Bond Fit/Forecasting
- Yield Curve Fit
| Solver | Status |
|---|---|
| Euler-Maruyama | ✅ |
| Milstein | ✅ |
| Model | Status |
|---|---|
| Vasicek | ✅ |
| CIR | ✅ |
| RB | ❌ |
| Ho-Lee | ❌ |
| Hull-White | ❌ |
| BDT | ❌ |
| BK | ✅ |
Setup
conda create -n "irm" python=3.11
pip install -r requirements.txt
cp example.env .env
edit .env
Running
conda acitvate irm
HYDRA_FULL_ERROR={0/1} python src/main.py --config-name config
Clint Howard 2017/08/19 Rates Simulations
SOA Research 2023 Interest Rate Model Calibration Study
Tidy Finance CIR Model Calibration
BlackKarasinski AIMLModeling