https://github.com/attack68/rateslib

A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction with market standard optimisers and automatic differentiation (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 interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction with market standard optimisers and automatic differentiation (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 3 years ago)
• Default Branch: main
• Last Pushed: 2026-01-06T08:14:00.000Z (13 days ago)
• Last Synced: 2026-01-07T00:23:22.811Z (12 days 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.com/py/
• Size: 32.2 MB
• Stars: 302
• Watchers: 5
• Forks: 56
• Open Issues: 31
• 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)
• awesome-quant - github.com/attack68/rateslib

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.com/py](https://rateslib.com/py/)