short-rate-models

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AIM-IT4 / InterestRateModelsCpp

Short-rate interest rate models in C++: Vasicek, CIR, Hull-White, Ho-Lee and more, with simulation code.

cpp quantitative-finance stochastic-processes fixed-income hull-white cir-model vasicek interest-rate-models short-rate-models

Updated Feb 17, 2024
C++

AIM-IT4 / Short-Interest-Rate-Model-Calibration

Star

Calibrating Hull-White and other short-rate models to market data with QuantLib-Python.

python quantlib quantitative-finance model-calibration fixed-income hull-white interest-rate-models short-rate-models

Updated Apr 27, 2024
Jupyter Notebook

vincal848 / term-structure-modeling

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Short-rate models (Vasicek, CIR, Hull-White, Black-Karasinski) and Nelson-Siegel curve fitting in R, benchmarked against closed-form zero-coupon bond prices

r fred quantitative-finance yield-curve testthat nelson-siegel term-structure short-rate-models

Updated Oct 8, 2026
R

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