interest-rate-modeling

Fixed income risk engine modeling yield curves, DV01, and interest rate sensitivity using real US Treasury data to simulate portfolio behavior under rate shocks.

An end-to-end quantitative finance framework in Python for modeling, calibrating, and forecasting interest rate dynamics using the CIR model and Jump-Diffusion processes.

Vasicek mean-reverting short-rate model calibrated to real RBI T-bill data, non-recombining/recombining interest rate tree, 10,000-path Monte Carlo simulation, and closed-form validation.