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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.
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attack68/rateslib
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Rateslib is a state-of-the-artfixed income library designed for Python.Its purpose is to provide advanced, flexible and efficient fixed income analysiswith a high level, well documented API.
The techniques and object interaction withinrateslib were inspired bythe requirements of multi-disciplined fixed income teams working, both cooperativelyand independently, within global investment banks.
This library is released under aCreative Commons Attribution, Non-Commercial,No-Derivatives 4.0 International Licence.
Read the documentation atrateslib.com/py
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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.
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