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Gregor Fabjan


Qnity Consultants

Last seen: 10 days ago Active since 2022

Programming Languages:
Python, MATLAB, Visual Basic
Spoken Languages:
English, Italian

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  • GitHub Submissions Level 3
  • Personal Best Downloads Level 2
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Submitted


Nelson Siegel Svansson
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm

2 months ago | 3 downloads |

Submitted


n-dimensional correlated Brownian motions
Generate a matrix of increments from a multidimensional Brownian motion with a given vector of means and a Variance-Covariance m...

2 months ago | 3 downloads |

Submitted


Stationary Bootstrap
Stationary bootstrap algorithm for resampling weakly-dependent stationary data. Based on the 1994 paper by Politis & Romano.

2 months ago | 7 downloads |

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Submitted


Smith & Wilson algorithm
Smith & Wilson is a popular algorithm for approximating financial curves such as bond yields or rates.

2 months ago | 2 downloads |

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