Code

Financial Calculators

[Bond Price, Duration, and Convexity ] Calculator

[Black-Scholes] Option Pricing Calculator Based on the Mean-Reverting Geometric Brownian Motion

[Black-Scholes] Implied Volatilities Calculator Based on the Mean-Reverting Geometric Brownian Motion

[Black-Scholes] Greeks Calculator Based on the Arithmetic Brownian Motion

[First To Default ] Option Calculator (A Copula Approach)

Source Code

Code to find the frequency that minimizes the Residual Sum of Squares of the Flexible Fourier Stationarity Test. See Becker, R., Enders, W., and Lee, J. (2006) for details

Code to perform the Flexible Fourier Stationarity Test. See Becker, R., Enders, W., and Lee, J. (2006) or details.

Code that computes the Momentum and Threshold Autoregressive Unit Root Test when the attractor is a level.

Code computes the Momentum and Threshold Autoregressive Unit Root Test when the attractor is a linear time trend.

Code that computes the M-TAR based Cointegration Test

Programming Code

RATS Sample code to produce the forecasting results in "Pretesting for multi-step-ahead exchange rate forecasts with STAR models".

Python Code employed for "Bootstrapping the relative performance of yield curve strategies": Bootstrapping simulation, Nelson-Siegel Yield Curve Bootstrapping, and Cubic Polynomial YC Bootstrapping.