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Fixed income tools for R
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Latest capture 2026-07-21 03:09
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R package with helper functions for developers and researchers familiar with Tidy Finance
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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