Collection of useful models that actuaries can use to speed up their tasks.
| Algorithm | Source | Description |
|---|---|---|
| Smith_Wilson | Technical-documentation | Interpolation and extrapolation of missing interest rates. |
| Stationary_boot_calib | Whitepaper-2004 | Automatic calibration of the stationary bootstrap algorithm. |
| Stationary_bootstrap | Politis-Romano-1994 | Resampling procedure for weakly dependent stationary observations. |
| Calibration_of_alpha | Technical-documentation | Calibration of the Smith & Wilson's alpha parameter. |
| Correlated Brownian | Wiki Brownian motion | Simple function to generate correlated Brownian motion in multiple dimensions. |
| Nel_Si_Svensson | BIS whitepaper | Nelson-Siegel-Svensson model for approximating the yield curve. |
| Black_Scholes | Wiki Black&Scholes | Black&Scholes model for simulating stock prices. |
| Vasicek one factor | Wiki Vasicek | Vasicek model for modelling the evolution of interest rates. |
| Vasicek two factor | Wiki Vasicek | Vasicek model for modelling the evolution of a pair of interest rates. |
| 1F Hull White | Wiki Hull White | One factor Hull White model of short rates. |
| Dothan one factor | Quant Exchange | One factor Dothan model of short rates. |
| Singular Spectrum analysis | Paper SSA | Non-parametric technique used for time series analysis and forecasting. |
Each algorithm is in its own folder, with a README that explains the method and shows an example. The examples import the code from the same folder, so run them from inside that folder, for example cd smith_wilson followed by python main.py.
The required packages are listed in requirements.txt and can be installed with pip install -r requirements.txt. The tests are run with pytest from the root of the repository.
New suggestions for algorithms are welcome.
If anybody is interested in publishing an algorithm they implemented, or help with the project, contact us and we will make it happen.
Queries and suggestions; gregor@osmodelling.com