interest-rate-model

Morpho Blue Interest Rate Models

Implementation of common interest rate models and their extensions.

Liquihood smart contracts. Full lending protocol with isolated markets, kinked interest rates, health factor engine, and on-chain name registry. Deployed on Robinhood Chain (Chain ID 4663).

A Python-based framework for calibrating the Gaussian Short-Rate (GSR) interest rate model using TensorFlow and QuantLib, enabling precise and efficient swaption volatility surface fitting.

Calibrating shifted 2-factor Gaussian short-rate model with iterative simulated annealing to market cap volatilities.

A decentralized lending protocol in Solidity — supply, borrow, repay, and liquidate across cross-asset collateral. Index-based interest accrual, Chainlink price feeds, kinked rate curves, and a full liquidation engine. Runs standalone in Remix, no deploy scripts needed.

This is a project I made that summarizes the mathematical and data processes of particular concern to a market risk analyst monitoring the value and risk of mortgage backed securities.

Isolated, single-base money market on EVM. Compound III (Comet)-inspired architecture, fully original code. Index-based accounting, absorb liquidation, Pyth + Chainlink oracle, built around a provable-solvency thesis (unit, integration, fuzz, invariant and fork tested).

Simulation and calibration of the Vasicek short-rate model with real US Treasury data