Ecosyste.ms: Awesome

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.

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: 10 Jun 2024