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.

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: 14 Jan 2026

https://github.com/attack68/book_irds3

Code repository for Pricing and Trading Interest Rate Derivatives

Last synced: 18 Jan 2026