This is an end of year project that aims to explore two different interest rate models and their simulation using milstein schema.
To run the project install required dependencies and run: python3 index.py in root directory.
You will see two simulations using different models:
- vasicek
- Cox Ingersoll Ross
For example runs the project uses polish interest rate data published by european central bank, https://data.ecb.europa.eu/data/datasets/IRS/IRS.M.PL.L.L40.CI.0000.PLN.N.Z.
- pandas
- numpy
- matplotlib
- scipy
Filip Kamiński