Awesome Lists

rateslib

by attack68

Pythonpushed almost 2 years ago

A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.

AI summary

Fixed income analysis library

A Python library designed to facilitate fixed income analysis with pricing tools and risk calculations

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164
forks
28
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awesome list
1
View on GitHubrateslib.readthedocs.io/en/latest

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