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constant-maturity-swap

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Idriss-Afra / CMS-Pricing-Analytics

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This project aims to price CMS-based payoffs : Forward, Vanilla, and Spread Option.

python cms jupyter-notebook option-pricing cms-framework fixed-income swaptions derivatives-pricing spread-option options-calculator vanilla-option-pricing quant-finance bachelier derivatives-pricing-models interest-rate-derivatives bachelier-model fixed-income-analytics hagan carr-madan constant-maturity-swap
  • Updated Mar 20, 2026
  • Jupyter Notebook

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