AlphaUncommon
attack68/rateslib
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 i…
- Owner
- attack68 (personal account)
- Stars
- Stars: 369
- Forks
- Forks: 71
- Language
- No language
- License
- None
- Created
- 2023
- Topics
- bondsfixed-incomeswapstradingcross-currencycurrencycurvesderivativesderivatives-pricingfinance
- Tier
- Alpha (250 to 699 ★) What this tier means
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