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.
☆324Mar 14, 2026Updated this week
Alternatives and similar repositories for rateslib
Users that are interested in rateslib are comparing it to the libraries listed below
Sorting:
- Code repository for Pricing and Trading Interest Rate Derivatives☆113Oct 29, 2022Updated 3 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆249Feb 5, 2025Updated last year
- AqumenLib is AQumen's financial analytics SDK for pricing and risk.☆20Mar 23, 2025Updated 11 months ago
- AAD enabled and scripting included derivatives modeling.☆22Jan 21, 2026Updated last month
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆2,827Mar 11, 2026Updated last week
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆214Feb 6, 2026Updated last month
- Open Source Risk Engine☆688Feb 4, 2026Updated last month
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆22Jan 30, 2019Updated 7 years ago
- Reimplementing QuantLib examples by Python☆70Sep 23, 2022Updated 3 years ago
- Example Python scripts for interest rate modelling and QuantLib usage☆24Nov 22, 2020Updated 5 years ago
- SABR model Python implementation☆590Apr 21, 2022Updated 3 years ago
- Fixed income related calculations in Python☆21Apr 24, 2021Updated 4 years ago
- ☆14Oct 10, 2024Updated last year
- a cashflow engine wrapper for structured finance professionals☆64Updated this week
- ☆74Jul 6, 2025Updated 8 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆207Nov 19, 2024Updated last year
- muRisQ Advisory: Interest Rate Models for Derivatives.☆16Oct 9, 2022Updated 3 years ago
- Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.☆686Updated this week
- SOFR curve bootstrapping☆27Jul 17, 2020Updated 5 years ago
- Documentation for QuantLib-Python☆117Dec 29, 2025Updated 2 months ago
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆54Aug 28, 2021Updated 4 years ago
- Calibrating market quoted implied volatilities across tenors and maturities for pricing of Swaptions☆19Mar 6, 2017Updated 9 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Aug 6, 2017Updated 8 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Mar 11, 2019Updated 7 years ago
- Fixed-Income-Quant-Trading Projects☆15Jul 21, 2018Updated 7 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆288Feb 19, 2026Updated last month
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated 2 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆137Feb 27, 2025Updated last year
- ☆28Aug 23, 2022Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 25, 2026Updated 3 weeks ago
- High-performance TensorFlow library for quantitative finance.☆5,264Feb 12, 2026Updated last month
- Standardised Bloomberg Fixed Income Processing☆20Apr 1, 2020Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆142May 2, 2024Updated last year
- QuantMinds Rough Volatility Workshop lectures☆71Sep 6, 2025Updated 6 months ago
- Free question bank for quant interviews☆31Mar 24, 2025Updated 11 months ago
- Neural network local volatility with dupire formula☆80Jun 15, 2021Updated 4 years ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆147Oct 5, 2022Updated 3 years ago
- Package to build risk model for factor pricing model☆28Jul 26, 2024Updated last year