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rates-pricing

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tancredeg / yield-curve-bootstrap

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Yield curve bootstrap and rates pricing on real market data. USD curve bootstrapped from US Treasury CMT par yields (home.treasury.gov), EUR curve ingested from ECB AAA-govt zeros (Svensson model). Bond/swap pricing, IRRBB scenarios, 22 invariant tests. Reproducible in one command.

python bootstrap quantitative-finance ecb yield-curve fixed-income nelson-siegel us-treasury interest-rate-derivatives irrbb rates-pricing
  • Updated Jun 3, 2026
  • Python

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