sofr

SOFR & Fed Funds dashboard visualizes how CPI, NFP and GDP releases move the rate curve, with AI-generated analyst commentary. Built with FastAPI, React, FRED API and Google Gemini.

SOFR forward curve bootstrapped from futures, with swap pricing and scenario PnL under parallel and twist shifts.

Typed zero-dependency client for the NY Fed Markets Data API — SOFR and friends, averages & index, SOMA. No API key.

A production-grade stochastic interest rate modeling engine that calibrates the Vasicek model to historical SOFR data using OLS regression and Euler-Maruyama simulation.

How far overnight repo rates jump on reporting dates, and whether public data can predict it

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

Calculadora de intereses con metodología Lookback in Arreas. Consola y GUI en Python (Tkinter) para TIIE de Banxico y SOFR de la Reserva Federal de EE. UU. (NY Fed), con calendarios CNBV/FED, tasa compuesta ACT/360 y desglose paso a paso.

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

From-scratch repo, reverse repo, equity TRS and SOFR swap pricing with desk economics, LP balance-sheet optimisation, pre-trade gate and stress testing on a simulated financing book.

SOFR compounding-in-arrears — ARRC/ISDA conventions, SOFR Index method, compounded average. Reproduces NY Fed published values. Zero deps.

[OBSOLETE] Superseded by Boutquin.Analytics

Daily SOFR compounding, the SOFR Index, and single-curve OIS bootstrapping in Python — a tested reference implementation.

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).

Benchmark Rate retrieves current risk-free reference rates across major currencies, covering SOFR, SONIA, ESTR, TONA, and SARON. Pass a rate symbol to receive the latest percentage rate, effective date, currency, region, and daily change direction.

Curve construction library for .NET 10. Post-LIBOR, RFR-first, multi-curve bootstrapping for SOFR, CORRA, SONIA, and €STR. Apache 2.0.

Reproducible research on SOFR, EFFR and IORB as pre-open predictors of US equity direction.

Discrete-time Hull-White pricing of backward-looking caplets and floorlets — R code for the paper figures and sensitivity analysis

C++20 rates engine for curve calibration, SOFR/OIS lifecycle and multi-curve valuation, risk, New York Fed fixings and validated quote imports; checked against QuantLib.

BGC Group — independent third-party profile of a public API surface, by API Evangelist. BGC Group, Inc. (NASDAQ: BGC), formerly BGC Partners, is a global brokerage and financial technology firm. Headquartered in New York and London, BGC operates electronic and voice broking across foreign exchange, interest rate derivatives, fixed income, energy an