Nelson Siegel Model – Python Source Code

This program implements Nelson-Siegel and Nelson-Siegel-Svensson Yield Curve models. Grid-based OLS is chosen as the parameter estimation algorithm. Last update: change OLS to weighted OLS to improve model fitting performance.

Author: David Y
Date of release: 2019-11-13
Date of last update: 2019-12-01
Version: 1.1.0
License: BSD
Language: Python (tested in python 3.7.1)

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Hurst Exponent – Python Source Code

The calculation of Hurst Exponent. It is ported from Matlab to Python based on Rafal Weron’s code.

Maintainer: David Y
Date of release: 2019-11-05
Version: 1.0.0
License: BSD
Language: Python (tested in python 3.7.1)

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Volatility Cone – C# Source Code

While the generation of volatility cone[1] [2] can be done via e.g. a spreadsheet, the calculation is a bit repetitive and is thus more convenient to code it in C#.

• Author: David Y
• Date of first release:2014-08-30
• Version: 1.0.0
• License: BSD
• Language: C# (tested in VS Express 2013 for Desktop)

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