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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.

Stack
pytest Cargo uv
GitHub topics
#bonds #cross-currency #currency #curves #derivatives #derivatives-pricing
Updated
2026-05-20
Lists
1 list mention
First commit
2023-03-31
History
1 history point
License
NOASSERTION
Issues
29 open
Sign in to like attack68/rateslib
347
stars
Forks
64
Commits
20 commits
Star growth, last 7 days
0 0.0%
Commit velocity, last 7 days
0 0.0%
Website GitHub