attack68 / rateslibLinks

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 differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.
228Updated this week

Alternatives and similar repositories for rateslib

Users that are interested in rateslib are comparing it to the libraries listed below

Sorting: