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 differentiation (AD) and risk sensitivity calculations including delta and cross-gamma.
☆292Updated last week
Alternatives and similar repositories for rateslib
Users that are interested in rateslib are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆191Updated 3 months ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆143Updated last year
- Macrosynergy Quant Research☆161Updated this week
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆244Updated 10 months ago
- Code repository for Pricing and Trading Interest Rate Derivatives☆102Updated 3 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆269Updated 2 weeks ago
- Pythonic interface for Bloomberg Open API☆140Updated 3 weeks ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆175Updated 2 months ago
- Documentation for QuantLib-Python☆115Updated last month
- The official Python client library for Databento☆226Updated last week
- ☆366Updated last year
- An intuitive Bloomberg API☆289Updated this week
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta …☆204Updated last year
- volatility arbitrage in Heston model☆64Updated 8 months ago
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆465Updated last week
- SABR model Python implementation☆532Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆124Updated last month
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆126Updated 9 months ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆247Updated last year
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆123Updated 2 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆174Updated 4 years ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆334Updated 2 weeks ago
- cot_reports is a Python library for fetching the Commitments of Trader reports of the Commodity Futures Trading Commission (CFTC). The f…☆175Updated last year
- A collection of homeworks of market microstructure models.☆269Updated 7 years ago
- Portfolio Construction and Risk Management book's Python code.☆151Updated last month
- ☆146Updated last year
- Options and Option Strategies analytics for educational purpose using the Black-Scholes Model☆124Updated 3 years ago
- ☆146Updated 2 weeks ago
- Python library for asset pricing☆123Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year