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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.

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Stars
355
Forks
67
Open issues
29
Commits
20

Activity and growth

Latest capture 2026-08-15 03:02

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+8
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Classification

Topics

#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

Technology stack

pytest

Metadata

License
NOASSERTION
Default branch
main
Created
2023-03-31
First commit
2023-03-31
Last pushed
2026-05-20
GitHub updated
2026-08-09
Last synced
2026-08-15 03:02
Stack scanned
2026-08-15 03:02
Archived
No
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Tracked growth

4 observed captures since 2026-06-19. Observed captures are shown by default.

Stars from first capture +8

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