Gabriel Cazaubieilh

After initial studies in Business / Economics, I became more interesting in programming and mathematics, and chose to pursue a career in quantitative finance. I am looking forward to learning more, and would greatly appreciate any feedback or question related to what I have shared in GitHub – please do not hesitate to reach out!

less than 1 minute read

Following my coursework in Fixed Incomes and Asset-Backed Securities, I regrouped most commonly used methods in this repository. utils.py allows to perform common conversions between different conventions (rates quoting, day counts, etc.). trees.py contains classes to perform tree operations on securities (fit a tree to bond prices, price securities using the tree, etc.). securities.py is aimed at regrouping classes corresponding to fixed-income securities, to be fed into (and used with) other classes and methods available in this repository (e.g. trees.py, Monte Carlo, etc.). prepayment.py contains some models of prepayment. Some other more anecdotal operations are possible (e.g. doing Bond Math).

You can find the corresponding GitHub repository here.

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