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.
164 stars
4 watching
28 forks
Language: Python
last commit: 3 months ago
Linked from 1 awesome list
bondscross-currencycurrencycurvesderivativesderivatives-pricingfinancefixed-incomefxinflationinflation-linkedinterest-ratesinvestmentpythonriskrisk-managementstudentsswapstradingtreasury
Related projects:
| Repository | Description | Stars |
|---|---|---|
 domokane/financepy | A comprehensive Python library for pricing and risk management of financial derivatives. | 2,179 |
 wilsonfreitas/r-fixedincome | Provides functions to handle interest rates and term structure of interest rates in financial markets. | 53 |
 jkirkby3/fypy | A comprehensive Python library for pricing exotic financial options and contracts using various analytical and numerical methods. | 83 |
| attack68/book_irds3 | A repository of code and examples for pricing interest rate derivatives | 61 |
 dbrojas/optlib | A Python library for pricing financial options using closed-form solutions and TDAmeritrade API | 665 |
 romanmichaelpaolucci/q-fin | A Python library for mathematical finance and option pricing with object-oriented programming, stochastic modeling, and simulation. | 397 |
 edouardpoitras/nowtrade | A Python library for creating and backtesting algorithmic trading strategies using machine learning and technical indicators. | 104 |
 alpha-miner/finance-python | A Python library providing financial calculation tools and technical indicators. | 746 |
 mgroncki/ipythonscripts | A collection of Python notebooks focused on quantitative finance and derivatives pricing using the QuantLib library. | 151 |
 maread99/market_prices | Provides an efficient way to obtain and process financial price data in Python | 75 |
 quantsbin/quantsbin | Provides tools for pricing and analyzing financial derivatives in Python | 501 |
 griffinaustin/pynance | A lightweight Python library for assembling and analyzing financial data | 317 |
 dedwards25/python_option_pricing | Provides a Python library for calculating the prices of various types of financial options using closed-form solutions. | 654 |
 yhilpisch/dawp | Provides Jupyter Notebooks and code for Derivatives Analytics with Python by Yves Hilpisch. | 600 |
| yhilpisch/dx | A Python-based financial analytics library for modeling and valuing complex derivatives instruments and portfolios | 719 |