AlphaPeu commune
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…
- Propriétaire
- attack68 (compte personnel)
- Étoiles
- Étoiles : 369
- Forks
- Forks : 71
- Langage
- Sans langage
- Licence
- Aucune
- Création
- 2023
- Sujets
- bondsfixed-incomeswapstradingcross-currencycurrencycurvesderivativesderivatives-pricingfinance
- Rang
- Alpha (250 à 699 ★) Ce que veut dire ce rang
Autres dépôts de attack68
Les 2 dépôts de attack68- attack68/book_irds3Étoiles : 127Jupyter NotebookPrototype