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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 differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.

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rateslib
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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.

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This library is released under a Creative Commons Attribution, Non-Commercial, No-Derivatives 4.0 International Licence.

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Read the documentation at Rateslib Read-the-Docs

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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 differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.

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