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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