🌐 FICC 开源资源共建：Rates / Credit / FX / Commodities · 投稿、评分与讨论

[pengpengyi92]

欢迎大家把 FICC relevant repo 放到这里！成熟的、naive 的、教学的、实验阶段的都可以。

这里是集中讨论区：回复、比较、评分和复现经验放在本帖，每个 repo 一个顶层评论。
Issue 用于投稿与跟踪：征集入口；接受目录 PR，审核后定期合入 FICC 板块。

评分可用 FICC关联度 / 可复现性 / 数值方法 / 文档 / 工程维护五维 0–5 或 N/A；
未运行请写 NOT_RUN，给出版本、命令、结果、限制和利益关联。👍 表示兴趣，不能当质量认证。

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FICC · Fixed Income, Currencies & Commodities

欢迎成熟项目、教学项目、naive baseline 和早期想法。这里汇总 FICC 相关的公开代码、
数据入口和研究工程资源；代码许可、数据权限、项目阶段与验证状态分别记录。

• 集中回复 / 评分 / 复现交流：FICC Discussion
• 投稿 / 收录状态：长期征集 Issue；也可使用 投稿模板 或直接 PR。
• 可版本化目录：resources.json；投稿、评分与每周收录规则。

本次观察日期 2026-11-11，首批 45 个去重后的仓库引用，包含
绑定/配套示例；不等同于 45 个独立定价引擎，也不声称穷尽所有 FICC 项目。
全部仅完成 primary repo/README/许可说明核验，未安装、未运行、未验证数值或数据质量。
每条的观察日期、原始分类、GitHub archived 标志与已知限制保存在 JSON。

从一个具体问题开始

• 债券/信用与定价架构：QuantLib、ORE、Strata、FinancePy；曲线小例子可从 bond_pricing、Nelson–Siegel–Svensson 开始。
• FX 数据/研究/成本：findatapy、finmarketpy、tcapy；先明确货币对、报价方向、时区、bid/ask 与数据权限。
• 商品期货：pysystemtrade、vn.py、NautilusTrader、LEAN；先明确主力/连续合约、换月、乘数与交易日历。
• 宏观/利率数据：fredapi、SDMX、AKShare；先核对发布时间、vintage/revision、期限、单位和授权。
• 电力商品邻接研究：GridStatus、PyPSA、oemof-solph；能源系统优化不能直接视为可交易收益证据。

这只是按任务找入口的导航，未给项目预填质量分或“生产可用”结论。

利率、债券、信用、曲线与约定

项目 / primary source	FICC 用途	代码许可	阶段 / 限制
QuantLib · source	C++ instrument/pricer framework: bonds, CDS, inflation products, OIS, swaps, swaptions and FX forwards.	BSD-3-Clause (README; GitHub SPDX NOASSERTION)	REFERENCE_LIBRARY — BSD-style terms are in LICENSE.TXT; API SPDX detection is NOASSERTION. Readme badge names BSD-3-Clause. Not executed.
QuantLib language bindings · source	Official QuantLib SWIG bindings for Python, C#, Java, Scala and R; same analytics family as QuantLib.	BSD-3-Clause-style (LICENSE.TXT; GitHub SPDX NOASSERTION)	BINDINGS — Bindings, not an independent pricing engine. Match the binding and native QuantLib versions.
Open Source Risk Engine · source	QuantLib-based pricing, simulation, risk analytics and XVA with trade/market/configuration interfaces and examples.	BSD-3-Clause-style / Modified BSD (README; GitHub SPDX NOASSERTION)	REFERENCE_LIBRARY — Source documents validation/training uses; no local model validation or market calibration performed.
ORE language bindings · source	Bindings for QuantExt, OREData and OREAnalytics; permits Python and other languages to access the ORE family.	BSD-3-Clause-style (LICENSE.txt; GitHub SPDX NOASSERTION)	BINDINGS — Separate wrapper repo; build documentation depends on a compatible ORE release. Last push 2024; current compatibility untested.
Strata · source	Java market analytics and risk library; product source includes bonds, credit, deposits, FRA, FX/FX options, swaps, swaptions and cap/floor modules.	Apache-2.0	REFERENCE_LIBRARY — Canonical repo transferred from OpenGamma/Strata, same GitHub repository ID 20882897. README retains historical OpenGamma links.
finmath lib · source	Java multi-curve valuation/calibration, OIS and cross-currency products, bonds, CDS, SABR, Hull-White and forward-rate Monte Carlo.	Apache-2.0	REFERENCE_LIBRARY — Default branch is main (renamed 2025-10-12). No numeric benchmarks reproduced.
FinancePy · source	Inspectable Python/Numba implementations for fixed-income, FX and credit derivative pricing and risk management.	GPL-3.0-or-later (README); GitHub SPDX GPL-3.0	REFERENCE_LIBRARY — GPL obligations and financial conventions need review before integration; no calculation verification claimed.
bond_pricing · source	Python bond price/YTM, accrued interest, duration and zero-curve construction, plus NPV/IRR and compounding conversions.	GPL-3.0	FOCUSED_LIBRARY — Small, targeted bond calculations; optional SciPy fallback changes numerical algorithms and must be accounted for in replication.
Nelson-Siegel-Svensson · source	Python Nelson-Siegel and Nelson-Siegel-Svensson zero/forward curves and OLS/nonlinear calibration.	MIT	FOCUSED_LIBRARY — Last push 2023. Narrow reference implementation; no current Python-version or optimizer regression tests were run.
yieldcurves · source	Python yield curves, interpolation, compounding, discount factors and FX-related curve methods.	Apache-2.0	FOCUSED_LIBRARY — Last push 2024. Verify curve/date conventions and current dependencies before adapter work.
dcf · source	Python discounted-cashflow and payment-leg construction for loans and banking instruments.	Apache-2.0	FOCUSED_LIBRARY — Cashflow toolkit, not market data. Last push 2025; no current build run.
businessdate · source	Python business dates, holiday adjustments, day-count year fractions and payment schedule generation.	Apache-2.0	FOCUSED_LIBRARY — Infrastructure for loan/derivative schedules. Calendar coverage and day-count edge cases require case-specific testing.

跨资产衍生品、数值方法与风险

项目 / primary source	FICC 用途	代码许可	阶段 / 限制
GS Quant · source	Python toolkit for derivatives, risk, structuring and cross-asset analytics; useful for studying FICC workflows and instrument interfaces.	Apache-2.0	REFERENCE_LIBRARY — Source code is open; README says API access requires institutional client ID/secret. Do not imply data/API access is free or bundled.
FinancialToolbox.jl · source	Julia Black/Black-Scholes pricing, Greeks, implied volatility and day-count functions, including generic numeric/AD types.	MIT (LICENSE.md); GitHub SPDX NOASSERTION	FOCUSED_LIBRARY — General options numerics relevant to FICC derivatives; not a full fixed-income curve/contract system.
PyFENG · source	Academic Python reference models including Bachelier, SABR, stochastic volatility, Greeks and implied volatility.	GPL-2.0	RESEARCH_LIBRARY — Canonical repo transferred from PyFE/pyfeng, same ID 342517882. README explicitly targets academic use; no production readiness claim.

FX 研究、数据与交易成本分析

项目 / primary source	FICC 用途	代码许可	阶段 / 限制
finmarketpy · source	FX spot/forward/option 总回报、波动率曲面、事件研究与黄金/外汇季节性示例。	Apache-2.0	Research library / source reviewed — Examples can depend on findatapy/FinancePy and licensed vendor inputs; tutorials and historical charts do not prove profitability.
findatapy · source	面向 FX 的多来源数据封装，README 展示 AUDJPY、bid/ask tick、FRED/ALFRED 以及订阅数据接口。	Apache-2.0	Data access library / source reviewed — Bloomberg/Eikon and other providers require separate licenses; public downloads retain source-specific conditions.
tcapy · source	FX spot 成交成本分析，包含订单/成交、基准价、滑点和合成交叉汇率参考。	Apache-2.0	Research library / source reviewed — README currently scopes supported order/trade data to FX spot; do not generalize to all asset classes. Last repository push observed in 2024.
oandapyV20 · source	第三方 OANDA REST v20 Python wrapper，便于研究 FX 行情/账户/订单 API 结构。	MIT	Third-party adapter / historical — README identifies a personal project, not an official OANDA SDK. Credentials, regional availability and service terms apply; no order sent and no API session tested.

商品期货、执行研究、能源基本面与数据工程

项目 / primary source	FICC 用途	代码许可	阶段 / 限制
VeighNa / vn.py · source	国内外期货、期权接口和 CTA/组合研究框架，提供合约、行情、回测和执行工程参考。	MIT	Framework / source reviewed — Gateways and data vendors may have separate dependencies, licenses, accounts and permissions. Listing is not live-trading validation.
NautilusTrader · source	Rust/Python 事件驱动研究与执行框架；README 明确包含 FX、期货、期权以及订单簿回放。	LGPL-3.0	Framework / source reviewed — Adapter-specific asset coverage, account/data rights and exact release behavior require independent tests.
pysystemtrade · source	系统化期货交易研究、组合配置、合约数据和 Interactive Brokers 工作流参考。	GPL-3.0	Framework / source reviewed — Historical robcarver17/pysystemtrade moved to pst-group in January 2026 per README; repository ID 46975254 preserved. No strategy performance claim or broker session validated.
QuantConnect LEAN · source	多资产事件驱动引擎，官方样例包括外汇和期货链/到期筛选，可学习跨资产回测契约。	Apache-2.0	Framework / source reviewed — Also checked BasicTemplateForexAlgorithm.py. Data purchases, broker connections, cloud services and derivative data rights are separate.
backtrader · source	通用事件驱动回测框架包含 futures-like 保证金现金调整、佣金/滑点和历史 OANDA 接口。	GPL-3.0	Framework / legacy integrations — Many integrations and examples are historical; package compatibility and fill models require retesting.
gridstatus · source	北美电力 ISO/RTO 与 EIA 的负荷、燃料结构、LMP、辅助服务等，为能源商品基本面提供入口。	BSD-3-Clause	Energy data library / source reviewed — Open-source direct-source client differs from paid hosted API. Some sources require credentials; ISO-local time, DST, retention and data terms need explicit handling.
PyPSA · source	电力/能源系统调度、储能和部门耦合优化，可作为电力商品基本面研究的邻接工具。	MIT (code); CC-BY-4.0 (documentation)	Energy-system model / adjacent to FICC — Not a derivatives pricer or trading system. Perfect-foresight optimization examples must not be interpreted as realistic historical trading tests; solver licenses are separate.
oemof.solph · source	能源系统 LP/MILP 优化模型生成器，适合研究供需、储能和能源转换约束。	MIT (README SPDX declaration)	Energy-system model / adjacent to FICC — Repository license API field absent; README SPDX says MIT. It is an adjacent fundamentals model, not an exchange-price forecaster or derivative trading framework. Solvers require separate installation/terms.
Databento Python · source	官方历史/实时市场数据客户端，包含期货换月 smart symbology 与多种市场数据 schema。	Apache-2.0	Official client / service separate — SDK source is open; data plans, exchange entitlements, credentials and redistribution restrictions are separate. No paid or authenticated download executed.
Databento Binary Encoding (DBN) · source	市场数据消息编码、存储和 CLI/Python/Rust 工具，可用于期货逐笔/订单簿管道设计。	Apache-2.0	Data format/library / source reviewed — A message format/tool, not a free data source. Source and dataset licenses are independent.

宏观、央行及跨资产数据

项目 / primary source	FICC 用途	代码许可	阶段 / 限制
OpenBB Open Data Platform · source	固定收益、外汇、商品和经济数据扩展；适合构建 FICC 研究的数据接入层。	Apache-2.0	Framework / source reviewed — Canonical repository ID 323048702; historical OpenBB-finance/OpenBB redirects here. LICENSE explicitly declares Apache-2.0 although GitHub SPDX detection says NOASSERTION. Individual providers retain their own credentials, subscriptions and data rights.
AKShare · source	公开财经接口覆盖债券、期货、外汇与宏观数据，可作为中国 FICC 数据发现入口。	MIT	Data interface library / source reviewed — Code license does not grant redistribution rights to upstream data; availability and source schemas were not tested.
TuShare / TuShare Pro SDK · source	官方 Pro 文档提供期货合约、日线、主连续映射以及外汇/债券接口；可研究交割、持仓和连续合约数据。	BSD-3-Clause	SDK + separate data service / source reviewed — Use official service documentation for coverage, not the stock-focused legacy README. Token, points and endpoint permissions apply; no authenticated request made. Low code push frequency does not imply the data service stopped updating.
fredapi · source	FRED/ALFRED Python 接口及 vintage/as-of 查询，可支持利率/宏观研究和数据修订控制。	Apache-2.0	Data client / source reviewed — FRED key is required; series-specific rights and release timestamps remain separate. Vintage support alone does not prove a backtest is free from look-ahead.
sdmx1 · source	SDMX 2.1/3.0 数据与元数据客户端，支持央行、国际组织和统计机构数据源。	Apache-2.0	Standards/client library / source reviewed — Fork lineage to pandaSDMX is documented. Endpoint availability and code mappings are provider-specific and untested.
pandaSDMX · source	SDMX 数据/元数据工具，README 列出 BIS、ECB、OECD 等 FICC 相关宏观提供方。	Apache-2.0	Standards/client library / older code line — Last repository push observed in 2023; sdmx1 is a related fork, not a renamed identical project. No live endpoint check.
pandas-datareader · source	pandas 宏观/政策数据访问，README 展示 FRED GS10 并列出 Bank of Canada、World Bank、OECD 等。	BSD-3-Clause	Data client / source reviewed — GitHub API returns NOASSERTION; LICENSE.md contains the 3-clause BSD text. Source-specific availability and licenses apply.
yfinance · source	第三方 Yahoo 数据工具的 market 模块明确提供 RATES、COMMODITIES、CURRENCIES 分类，可用于探索性数据发现。	Apache-2.0	Unofficial data client / exploratory — README states Yahoo Finance API data is intended for personal use only. Do not assume commercial use, redistributable data, tick accuracy or institutional coverage.

教学、naive baseline 与历史研究参考

项目 / primary source	FICC 用途	代码许可	阶段 / 限制
finmath experiments · source	Examples and experiments using finmath; useful for curve calibration and interest-rate-model learning rather than independent vendor analytics.	Apache-2.0	LEARNING_EXAMPLES — Companion of finmath-lib; not counted as an independent numerical engine.
TF Quant Finance · source	TensorFlow numerical finance reference with rate-curve construction, Hull-White, SABR and calibration examples.	Apache-2.0	LEGACY_RESEARCH — README explicitly says ARCHIVED/no longer maintained, even though GitHub archived flag was false at observation. Use as legacy research/reference.
QuantLib.jl (original) · source	Pure Julia alpha implementation with bonds, swaps, swaptions, partial CDS, short-rate models and yield/default curves.	MIT (LICENSE.md); GitHub SPDX NOASSERTION	LEGACY_RESEARCH — README calls it alpha; original repo last push 2020. JuliaQuant/QuantLib.jl is a fork, omitted as duplicate. Not official C++ QuantLib bindings.
QSForex · source	QuantStart 外汇交易日记配套的 alpha 阶段事件驱动/点差回测项目，适合学习和讨论原型。	MIT (declared in README; GitHub license field absent)	Educational / alpha / historical — README explicitly calls it alpha; last push observed in 2022. Historical OANDA integration may need substantial updating; standalone license detection missing. Do not treat as a production recommendation.
forex-python · source	简单汇率与币种换算 API，适合作为入门/小型 FX 数据处理示例。	MIT	Small utility / source reviewed — Daily reference-rate utility, not tick/executable quotes; external rates service was not contacted. README endpoint naming is historical.
Rates Bond Quant · source	维护者自己的教学项目：简化债券现金流、价格、久期、凸性、利率冲击与多期限比较，附 Python/FastAPI/Next.js 界面。	MIT	LEARNING_EXAMPLES — Maintainer-owned project, disclosed. Earlier ficc-rates-bond-quant URL redirects here. Educational reconstruction; no production or live trading claim, and this catalog update did not rerun its tests.

单独标识：source-available / 许可待确认

项目 / primary source	FICC 用途	代码许可	阶段 / 限制
isda_daycounters · source	Minimal Python day-count collection covering Actual/360, Actual/365, Actual/Actual and several 30/360 variants.	UNKNOWN / no license file found in root	LEARNING_LICENSE_UNRESOLVED — Last push 2020. Treat as a public code reference pending license clarification; not approved for reuse/distribution.
Rateslib · source	Fixed-income analysis for bonds/futures, IRS, cross-currency and FX swaps, curve solving and AD risk sensitivities.	CUSTOM: Source-Available Non-Commercial + Commercial Subscription	SOURCE_AVAILABLE — README explicitly states NOT open source. Commercial use requires a paid license. Keep outside the OSI-open-source subset.

已有 FICC 讨论与本仓库工具

这些是历史教学/研究讨论，独立于这次 repo 目录收录，不把旧帖内容当作新的数值验收。

• 利率债 #124 · 信用债 #125
• FX #126 · 贵金属 #127
• 宏观框架 #128 · Rates Bond Quant 联动 #129
• 已有 quant_bond 工具的历史公告 #14

本仓库已有 quant_bond 的债券价格/YTM、久期、凸性、DV01 教学方法，
以及数据渠道知识库中的 ChinaBond、CFETS 等引用。本次没有新增 FICC 定价工具或自动交易功能。

投稿巡检已安排每周一 09:30（Asia/Shanghai）的 Codex 线程跟进；运行依赖客户端与连接可用。
巡检发现新内容后仍需 review/CI 通过再合入，未配置无人值守自动 merge。

收录与验证边界

• 原仓库/官方文档是来源；收录不代表作者背书、dsh 插件兼容、模型验证或已完成集成。
• source-available、许可未知、历史/archived 项目都有明确标签；请按具体代码版本核对许可。
• SDK 开源不代表市场数据免费；商业 API、交易所授权、凭据、服务条款和再分发权单独确认。
• 学习实验也欢迎。定价比较至少固定曲线、日计数、日历、复利、结算、clean/dirty、单位及已知答案；
  回测须核对无未来函数、数据修订、换月、bid/ask、费用和风险。
• 每个 repo 在 Discussion 留一个顶层评论，回复、评分和争议都放在它的回复下。
  投稿 Issue 只跟踪 submitted → needs-info/reviewed → PR → merged → credited。
• 每周批量检查、review 后合入；无人值守 merge 尚未配置。未运行的数值可靠性评分填 N/A。

目录由 resources.json 生成。修改数据后运行 node scripts/ficc-catalog.mjs --write，
再运行 npm run test:ficc；生成器离线运行，不访问或修改 GitHub。