sofr

SOFR forward curve bootstrapped from futures, with swap pricing and scenario PnL under parallel and twist shifts.

This repository contains a dynamic web page that visualizes current SOFR spreads across different commercial real estate asset classes. The dashboard provides a breakdown of spreads for industrial, multifamily, office, and retail properties, categorized by risk profiles such as Core/Stabilized, Value-Add, and Opportunistic.

SOFR & Fed Funds dashboard visualizes how CPI, NFP and GDP releases move the rate curve, with AI-generated analyst commentary. Built with FastAPI, React, FRED API and Google Gemini.

Typed zero-dependency client for the NY Fed Markets Data API — SOFR and friends, averages & index, SOMA. No API key.

Hedging a short FRA 3x6 with CME SOFR futures, forward rate implied from the SOFR curve and a DV01 hedge ratio rebalanced daily.

A production-grade stochastic interest rate modeling engine that calibrates the Vasicek model to historical SOFR data using OLS regression and Euler-Maruyama simulation.

This project is designed to evaluate and price fixed-income instruments (bonds) and derivative instruments (swaps) under varying interest rate conditions.

Bootstraps a 40-year SOFR OIS curve from SR3 futures and swaps under exact market conventions, prices benchmark swaps, and builds key-rate DV01 ladders by bump-and-rebootstrap (pillars reproduce to 5e-11 bp).

SOFR compounding-in-arrears — ARRC/ISDA conventions, SOFR Index method, compounded average. Reproduces NY Fed published values. Zero deps.

Curve construction library for .NET 10. Post-LIBOR, RFR-first, multi-curve bootstrapping for SOFR, CORRA, SONIA, and €STR. Apache 2.0.

[OBSOLETE] Superseded by Boutquin.Analytics

Daily SOFR compounding, the SOFR Index, and single-curve OIS bootstrapping in Python — a tested reference implementation.

Bootstraps a 40-year SOFR OIS curve from SR3 futures and swaps under exact market conventions, prices benchmark swaps, and builds key-rate DV01 ladders by bump-and-rebootstrap (pillars reproduce to 5e-11 bp).

Discrete-time Hull-White pricing of backward-looking caplets and floorlets — R code for the thesis figures and sensitivity analysis

BGC Group — independent third-party profile of a public API surface, by API Evangelist. BGC Group, Inc. (NASDAQ: BGC), formerly BGC Partners, is a global brokerage and financial technology firm. Headquartered in New York and London, BGC operates electronic and voice broking across foreign exchange, interest rate derivatives, fixed income, energy an