Interest Sensitivity (IS) Gap–based IRRBB model to analyze Net Interest Income (NII) impact under upward and downward interest rate shocks, implemented in Python with FRM-aligned methodology.
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Jan 3, 2026 - Python
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irrbb
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Python implementation of the BCBS 368 IRRBB standardised framework — EVE & NII sensitivity across 6 prescribed shock scenarios, 19 repricing buckets, full cash flow discounting, Streamlit dashboard.
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Mar 19, 2026 - Python
Python implementation of a leverage-adjusted Duration Gap model to estimate Economic Value of Equity (EVE) sensitivity under interest rate shocks, aligned with FRM and IRRBB methodology.
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Jan 3, 2026 - Python
A modular Python engine for banking book ALM, integrating IRRBB, liquidity risk (LCR/NSFR), stress testing, and treasury management actions.
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Mar 22, 2026 - Python
Yield curve bootstrap and rates pricing on real market data. USD curve bootstrapped from US Treasury CMT par yields (home.treasury.gov), EUR curve ingested from ECB AAA-govt zeros (Svensson model). Bond/swap pricing, IRRBB scenarios, 22 invariant tests. Reproducible in one command.
python bootstrap quantitative-finance ecb yield-curve fixed-income nelson-siegel us-treasury interest-rate-derivatives irrbb rates-pricing
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Jun 3, 2026 - Python
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