Skip to content
#

curves

Here are 133 public repositories matching this topic...

rateslib

A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.

  • Updated Jun 23, 2024
  • Python

Improve this page

Add a description, image, and links to the curves topic page so that developers can more easily learn about it.

Curate this topic

Add this topic to your repo

To associate your repository with the curves topic, visit your repo's landing page and select "manage topics."

Learn more