Popular repositories Loading

1. LiborMarketModel LiborMarketModel Public

   Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european swaption implied volatilities.

   Python 16 13

2. AsianOption AsianOption Public

   Asian option valuation for a number of payoffs using control variate variance reduction.

   Python 1 1

3. MVVM-WPF-Docking-Template MVVM-WPF-Docking-Template Public

   Getting Telerik docking panes to talk to Caliburn.Micro in an MVVM way can be tricky. Here is a template solution

   C# 1

4. ExcelWriteReader ExcelWriteReader Public

   Interop only interacts with open excel workbooks. Closed XML only reads from closed excel workbooks. This combines the two.

   C# 1