sabr 开源项目推荐（46 个）

jkirkby3 /PROJ_Option_Pricing_Matlab

该项目在 GitHub 上没有填写描述

LuanRT /googlevideo

Modules for handling YouTube's custom UMP format and SABR streaming protocol.

jkirkby3 /fypy

支持量化研发的普通与奇异期权定价库。专注于为有趣/有用的模型和合约（包括 Black-Scholes 及更广泛的模型）定价，以及将金融模型校准到市场数据。

LuanRT /kira

YouTube client built with Vue, demonstrating SABR playback via YouTube.js & googlevideo

volsurf-rs /volsurf

Production-quality volatility surface library for Rust

prodipta /bsoption

Package for option pricing and volatility calibration for index (and FX) options

CRtheHILLS /yt-dlp-rescue

YouTube broke your downloads. We fixed it. Permanently. SABR quality fix + bot detection bypass + cloud deployment guide. Battle-tested in production.

nicholasferguson /SABR.NelderMead_Studies_2

SABR NelderMead volatility

moshejs /hagan-sabr

The SABR stochastic-vol model — Hagan 2002 lognormal & normal implied vol, Obloj correction, smile calibration. Matches QuantLib. Zero deps.

NavnoorBawa /Interest-Rate-Volatility-Smile-Engine

SABR calibration and volatility-smile analysis for interest-rate derivatives.

asancdec /UnifiedVol

Volatility surface modelling library

mortenbaiandersen-cpu /qelib-releases

Releases of qeLib: quantitative finance analytics for Excel and Python

vivek-v-rao /Implied-Vol-Surface

Fit implied vol curves to option prices using SVI and SABR

seanlahman /SABR-datasets

Open source collection of baseball datasets

nicholasferguson /SABR_Studies_1

该项目在 GitHub 上没有填写描述

yt-dlm /ytdlm

Real-time SABR UMP WebM/Opus (251/774) audio streaming & seekable downloading engine, CLI, and HTTP gateway with O(1) memory and zero re-encoding.

MikoDevedzic /rijeka

Where the trading desk meets the chain. Open-source derivatives desk: rates, FX and crypto forwards, XVA, SIMM, and bilateral confirmation anchored on Ethereum (Sepolia).

lilbatus /ytbuffy

YTBUFFY is a browser extension for Chrome, Edge, Firefox, Opera, Brave, Vivaldi and Yandex Browser that loads YouTube videos ahead into memory, so they keep playing when your connection drops, even after a page reload.

kshitijbhandari /Options-Pricing-and-Volatility-Surface-Modeling-in-Python

Python library pricing options across 7 models: Black-Scholes, Binomial Tree, Monte Carlo, Finite Difference (Explicit/Implicit/Crank-Nicolson), Heston, Merton Jump Diffusion, and SABR. Calibrated to live SPY market data with full implied volatility surface construction and Greeks analysis.

kshitijbhandari /Market-Making-Simulator

Avellaneda-Stoikov market making framework applied to SPY equity and options. Covers parameter calibration from real market data, Black-Scholes/SABR pricing, delta hedging, and P&L decomposition across 40 simulated trading days.