rateslib
Fixed income analysis library
A Python library designed to facilitate fixed income analysis with pricing tools and risk calculations
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.
152 stars
5 watching
27 forks
Language: Python
last commit: 6 days ago
Linked from 1 awesome list
bondscross-currencycurrencycurvesderivativesderivatives-pricingfinancefixed-incomefxinflationinflation-linkedinterest-ratesinvestmentpythonriskrisk-managementstudentsswapstradingtreasury
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