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

Last synced: 3 months ago
JSON representation

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 (almost 2 years ago)
• Default Branch: main
• Last Pushed: 2024-04-12T05:20:57.000Z (10 months ago)
• Last Synced: 2024-04-12T13:18:05.804Z (10 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: 6.25 MB
• Stars: 61
• Watchers: 4
• Forks: 13
• Open Issues: 13
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

• 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.

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/)