https://github.com/attack68/rateslib

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.
https://github.com/attack68/rateslib

bonds cross-currency currency curves derivatives derivatives-pricing finance fixed-income fx inflation inflation-linked interest-rates investment python risk risk-management students swaps trading treasury

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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.

• Host: GitHub
• URL: https://github.com/attack68/rateslib
• Owner: attack68
• License: other
• Created: 2023-03-31T12:47:27.000Z (about 1 year ago)
• Default Branch: main
• Last Pushed: 2024-02-23T22:01:57.000Z (3 months ago)
• Last Synced: 2024-02-23T22:24:45.169Z (3 months ago)
• Topics: bonds, cross-currency, currency, curves, derivatives, derivatives-pricing, finance, fixed-income, fx, inflation, inflation-linked, interest-rates, investment, python, risk, risk-management, students, swaps, trading, treasury
• Language: Python
• Homepage: https://rateslib.readthedocs.io/en/stable/
• Size: 5.34 MB
• Stars: 48
• Watchers: 3
• Forks: 14
• Open Issues: 14
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Lists

• awesome-quant - rateslib - A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. (Python / Financial Instruments and Pricing)

README

        


    





  

  

  

  

  

  

  



# Rateslib

``Rateslib`` is a state-of-the-art **fixed income library** designed for Python.

Its purpose is to provide advanced, flexible and efficient fixed income analysis

with a high level, well documented API.

Its design objective is to be able to create a self-consistent, arbitrage free

framework for pricing all aspects of fixed income trading, such as spot FX, FX forwards,

single currency securities and derivatives like fixed rate bonds and IRSs, and also

multi-currency derivatives such as FX swaps and cross-currency swaps. Options,

swaptions and inflation are also under consideration for future development.

The techniques and object interaction within *rateslib* were inspired by

the requirements of multi-disciplined fixed income teams working, both cooperatively

and independently, within global investment banks.

Licence

=======

This library is released under a **Creative Commons Attribution, Non-Commercial,

No-Derivatives 4.0 International Licence**.

Get Started

===========

Read the documentation at 

[Rateslib Read-the-Docs](https://rateslib.readthedocs.io/en/latest/)