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GeezerVison is showing github.com — GitHub - 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.

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rateslib
Python PyPi Conda Licence Status Coverage Code Style

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 specific Dual Licensing Terms - Source-Available Non-Commercial Licence and Commercial Subscription Licence. See latest licence

This project is source-available, not open source. Commercial use requires a paid licence.

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Read the documentation at rateslib.com/py

About

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.

rateslib.com/py/

Topics

bondscross-currencycurrencycurvesderivativesderivatives-pricingfinancefixed-incomefxinflationinflation-linkedinterest-ratesinvestmentpythonriskrisk-managementstudentsswapstradingtreasury

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