MRMG Interest Rate documentation

Installation [1]

• General installation for Python and pip
• General installation for git for MRMG git server
• Package source code can be found from SunTrust internal server

Dependencies

• numpy, matplotlib, bokeh, scipy are already installed by anaconda
• mrmg (by pip install mrmg)
• quantlib_python (by pip install quantlib_python)

Summary on the package

• Yield term structure construction
• Short rate modeling (calibration / simulation)

Contents

• ir
  • ir package
    • ir.date_time package
      • ir.date_time.conv module
      • ir.date_time.enum module
      • ir.date_time.util module
    • ir.model package
      • ir.model.calib_input_helper module
      • ir.model.hull_white module
      • ir.model.short_rate module
    • ir.term_structure package
      • ir.term_structure.bootstrap module
      • ir.term_structure.bootstrap_input_helper module
      • ir.term_structure.curves module

Footnotes

[1]	Due to security issue, the link may not be open if you are outside of SunTrust network