interest-rate-swaps

Privacy-first on-chain Interest Rate Swaps on Canton Network. Reference Daml Finance implementation (IRS, OIS, BASIS, XCCY, CDS) with full ISDA lifecycle, CSA collateral, and regulator views.

Risk management models for exposure simulation, CVA, hedge VaR, and PCA swap curve scenarios

C++20 fixed income analytics: yield curve bootstrapping, Nelson-Siegel-Svensson fitting, OIS-discounted swap valuation, and key-rate risk.

QuantLib IRS curve bootstrapping for EM rates: PLN, HUF, CZK, ZAR. Discount factors, zero rates, forward rates from market par swap rates.

Educational desktop app that teaches OTC derivatives counterparty-credit underwriting end to end: Monte Carlo exposure (EE/PFE), CVA/DVA/FVA, CSA collateral, limits, and an underwriting memo — plus a guided role-play simulator. PySide6/Qt6, runs offline on synthetic data.

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).

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).

Bootstrapping a EUR zero-coupon curve from market quotes, then measuring swap risk: DV01, key-rate durations and scenario P&L.