Community Profile

photo

Gregor Fabjan


Qnity Consultants

Last seen: 3 mesi fa Attivo dal 2022

Programming Languages:
Python, MATLAB, Visual Basic
Spoken Languages:
English, Italian

Statistics

  • GitHub Submissions Level 3
  • Personal Best Downloads Level 2
  • First Submission

Visualizza badge

Content Feed

Visto da

Inviato


Nelson Siegel Svansson
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm

4 mesi fa | 3 download |

Inviato


n-dimensional correlated Brownian motions
Generate a matrix of increments from a multidimensional Brownian motion with a given vector of means and a Variance-Covariance m...

5 mesi fa | 4 download |

Inviato


Stationary Bootstrap
Stationary bootstrap algorithm for resampling weakly-dependent stationary data. Based on the 1994 paper by Politis & Romano.

5 mesi fa | 1 download |

Thumbnail

Inviato


Smith & Wilson algorithm
Smith & Wilson is a popular algorithm for approximating financial curves such as bond yields or rates.

5 mesi fa | 3 download |

Thumbnail