A Python library for Fixed Income analytics, Asset-Liability Management (ALM), and Banking Risk simulation. Designed for quantitative researchers and risk managers.
Bootstrapping : Generate zero-rate curves from market bond prices.
Risk Bucketing (PV01)
: Vectorised sensitivity analysis using pandas categories for maturity buckets (1Y, 5Y, 10Y+).
Prepayment Engines : Model loan schedules using CPR (Conditional Prepayment Rate) and SMM (Single Monthly Mortality) logic.
NMD Decay : Simulate the outflow profiles of Non-Maturing Deposits using exponential decay functions.
Dynamic NII Projection : Simulate a 12-month Net Interest Income horizon including portfolio runoff and new business reinvestment.
Basis Risk Analysis : Quantify the impact of divergent interest rate shocks (e.g., SONIA vs. Bank of England Base Rate).