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.
☆368May 20, 2026Updated 5 months ago
Alternatives and similar repositories for rateslib
Users that are interested in rateslib are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Code repository for Pricing and Trading Interest Rate Derivatives☆127Oct 29, 2022Updated 4 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆265Feb 5, 2025Updated last year
- A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and…☆3,206Updated this week
- AAD enabled and scripting included derivatives modeling.☆27Updated this week
- Fourier-transform pricing, Monte Carlo validation, and calibration of European options under stochastic-volatility models in Python☆239Updated this week
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- AqumenLib is AQumen's financial analytics SDK for pricing and risk.☆20Mar 23, 2025Updated last year
- Fast Risks with QuantLib in Python☆22Updated this week
- Open Source Risk Engine☆807Sep 15, 2026Updated last month
- QuantMinds Rough Volatility Workshop lectures☆75Sep 6, 2025Updated last year
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆24Jan 30, 2019Updated 7 years ago
- ☆96Jul 6, 2025Updated last year
- High performance hybrid Monte Carlo simulation☆10Sep 21, 2026Updated last month
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆149Feb 27, 2025Updated last year
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆88Aug 21, 2018Updated 8 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- Macrosynergy Quant Research☆198Updated this week
- PyCurve : Python Yield Curve is a package created in order to interpolate yield curve, create parameterized curve and create stochastic s…☆54Aug 28, 2021Updated 5 years ago
- Entropy Pooling views and stress testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆313Oct 8, 2026Updated 3 weeks ago
- SOFR curve bootstrapping☆28Jul 17, 2020Updated 6 years ago
- Tutorial for the book "Algorithmic Differentiation in Finance"☆16Aug 6, 2017Updated 9 years ago
- Fixed income related calculations in Python☆21Apr 24, 2021Updated 5 years ago
- NYU FRE-GY 6971 Fixed Income Quant Trading☆11Jan 7, 2019Updated 7 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆135Jun 9, 2026Updated 4 months ago
- Master's degree dissertation: Yield Curve Modeling with Principal component analysis.☆24Jun 12, 2025Updated last year
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆209Nov 19, 2024Updated last year
- ☆13Mar 17, 2025Updated last year
- Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.☆777Updated this week
- High-performance TensorFlow library for quantitative finance.☆5,548Aug 6, 2026Updated 2 months ago
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆146Oct 5, 2022Updated 4 years ago
- Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.☆19Apr 28, 2024Updated 2 years ago
- Implementation of the Nelson-Siegel-Svensson interest rate curve model.☆129Nov 2, 2023Updated 2 years ago
- Example Python scripts for interest rate modelling and QuantLib usage☆25Nov 22, 2020Updated 5 years ago
- ☆12May 30, 2026Updated 4 months ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- Reimplementing QuantLib examples by Python☆72Sep 23, 2022Updated 4 years ago
- Quant Research☆160Jun 21, 2026Updated 4 months ago
- Quantitative Finance book☆992Apr 14, 2025Updated last year
- SABR model Python implementation☆630Apr 21, 2022Updated 4 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆15Mar 11, 2019Updated 7 years ago
- Intraday Alpha Platform A reproducible, event-driven, research-to-production trading platform spanning market data, microstructure alpha,…☆14Updated this week
- A complete set of volatility estimators based on Euan Sinclair's Volatility Trading☆1,962Oct 21, 2024Updated 2 years ago