dv01

Quantitative fixed income research — yield curve modelling, risk management, and NS factor forecasting on US Treasuries.

Fixed-income portfolio risk framework covering bond pricing, duration, convexity, DV01, key-rate duration, yield-curve stress testing and hedge optimization.

Local-first bond scenario analysis with deterministic pricing, curve shocks, DV01, key-rate risk, and optional evidence-bound BYOK AI.

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).

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

DV01-based hedging of a €25m French OAT position with Euro-Bund futures, including basis risk and P&L analysis.

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

Curve bootstrapping with four interpolation schemes, bond analytics and credit spreads — quantifying how much your DV01 depends on your interpolator.

Streamlit prototype for fixed-income ETF basket valuation, iNAV, DV01, hedge sizing and premium/discount diagnostics.

Fixed income risk engine modeling yield curves, DV01, and interest rate sensitivity using real US Treasury data to simulate portfolio behavior under rate shocks.