├── .gitignore ├── LICENSE ├── README.md ├── bookirds ├── __init__.py ├── bsplines.py ├── covar.py ├── cross_gamma.py ├── curves.py ├── dual.py ├── mid_market.py ├── pca.py └── swaptions.py ├── files └── ZCAderivation.pdf ├── notebooks ├── Ch11-CurvesJacobians.ipynb ├── Ch12-AdvancedCurve.ipynb ├── Ch12-BSpines.ipynb ├── Ch14-CoVaR.ipynb ├── Ch15-PCA.ipynb ├── Ch19-ElectronicTrading.ipynb ├── Ch19-MidMarket.ipynb ├── Ch22-CrossGamma.ipynb ├── Ch23-Roll-Vol.ipynb ├── Ch23-TradeDirectionality.ipynb └── module_loader.py ├── previous_edition_material ├── ACG.xlsb ├── CoVaR.xls ├── FCA.xls ├── MultiCurCvModel.xlsb ├── OGGuide.pdf ├── PCA.xlsb ├── Resets.xlsb ├── SingleCurCvModel.xlsb ├── ZCAderivation.pdf ├── sbsSpotModel copy.xlsb └── sbsSpotModel.xlsb ├── pyproject.toml ├── requirements.txt ├── setup.py └── tests ├── context.py ├── pytest.ini ├── test_bsplines.py ├── test_covar.py ├── test_cross_gamma.py ├── test_dual.py ├── test_mid_algos.py ├── test_swap.py └── test_swaption.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/README.md -------------------------------------------------------------------------------- /bookirds/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /bookirds/bsplines.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/bsplines.py -------------------------------------------------------------------------------- /bookirds/covar.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/covar.py -------------------------------------------------------------------------------- /bookirds/cross_gamma.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/cross_gamma.py -------------------------------------------------------------------------------- /bookirds/curves.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/curves.py -------------------------------------------------------------------------------- /bookirds/dual.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/dual.py -------------------------------------------------------------------------------- /bookirds/mid_market.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/mid_market.py -------------------------------------------------------------------------------- /bookirds/pca.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/pca.py -------------------------------------------------------------------------------- /bookirds/swaptions.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/bookirds/swaptions.py -------------------------------------------------------------------------------- /files/ZCAderivation.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/files/ZCAderivation.pdf -------------------------------------------------------------------------------- /notebooks/Ch11-CurvesJacobians.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch11-CurvesJacobians.ipynb -------------------------------------------------------------------------------- /notebooks/Ch12-AdvancedCurve.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch12-AdvancedCurve.ipynb -------------------------------------------------------------------------------- /notebooks/Ch12-BSpines.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch12-BSpines.ipynb -------------------------------------------------------------------------------- /notebooks/Ch14-CoVaR.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch14-CoVaR.ipynb -------------------------------------------------------------------------------- /notebooks/Ch15-PCA.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch15-PCA.ipynb -------------------------------------------------------------------------------- /notebooks/Ch19-ElectronicTrading.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch19-ElectronicTrading.ipynb -------------------------------------------------------------------------------- /notebooks/Ch19-MidMarket.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch19-MidMarket.ipynb -------------------------------------------------------------------------------- /notebooks/Ch22-CrossGamma.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch22-CrossGamma.ipynb -------------------------------------------------------------------------------- /notebooks/Ch23-Roll-Vol.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch23-Roll-Vol.ipynb -------------------------------------------------------------------------------- /notebooks/Ch23-TradeDirectionality.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/Ch23-TradeDirectionality.ipynb -------------------------------------------------------------------------------- /notebooks/module_loader.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/notebooks/module_loader.py -------------------------------------------------------------------------------- /previous_edition_material/ACG.xlsb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/ACG.xlsb -------------------------------------------------------------------------------- /previous_edition_material/CoVaR.xls: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/CoVaR.xls -------------------------------------------------------------------------------- /previous_edition_material/FCA.xls: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/FCA.xls -------------------------------------------------------------------------------- /previous_edition_material/MultiCurCvModel.xlsb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/MultiCurCvModel.xlsb -------------------------------------------------------------------------------- /previous_edition_material/OGGuide.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/OGGuide.pdf -------------------------------------------------------------------------------- /previous_edition_material/PCA.xlsb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/PCA.xlsb -------------------------------------------------------------------------------- /previous_edition_material/Resets.xlsb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/Resets.xlsb -------------------------------------------------------------------------------- /previous_edition_material/SingleCurCvModel.xlsb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/SingleCurCvModel.xlsb -------------------------------------------------------------------------------- /previous_edition_material/ZCAderivation.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/ZCAderivation.pdf -------------------------------------------------------------------------------- /previous_edition_material/sbsSpotModel copy.xlsb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/sbsSpotModel copy.xlsb -------------------------------------------------------------------------------- /previous_edition_material/sbsSpotModel.xlsb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/previous_edition_material/sbsSpotModel.xlsb -------------------------------------------------------------------------------- /pyproject.toml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/pyproject.toml -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/requirements.txt -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/setup.py -------------------------------------------------------------------------------- /tests/context.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/context.py -------------------------------------------------------------------------------- /tests/pytest.ini: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/pytest.ini -------------------------------------------------------------------------------- /tests/test_bsplines.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/test_bsplines.py -------------------------------------------------------------------------------- /tests/test_covar.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/test_covar.py -------------------------------------------------------------------------------- /tests/test_cross_gamma.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/test_cross_gamma.py -------------------------------------------------------------------------------- /tests/test_dual.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/test_dual.py -------------------------------------------------------------------------------- /tests/test_mid_algos.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/test_mid_algos.py -------------------------------------------------------------------------------- /tests/test_swap.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/test_swap.py -------------------------------------------------------------------------------- /tests/test_swaption.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/attack68/book_irds3/HEAD/tests/test_swaption.py --------------------------------------------------------------------------------