Python functions for fixed-income pricing and risk management.
This module has been created to provide functions that are useful in pricing and risk management of fixed-income securities. The goal is to break-down complex quantitative financial calculations into easy-to-understand functions as much as possible.
To begin with, there are two functions: duration: calculates the Macaulay and Modified Durations. bondprice: provides an estimated price for a security for a given basis point change.
More functions will be added periodically.
A distribution (tar.gz) is available at: https://pypi.python.org/pypi/quantfns/1.0.0