A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and automatic differention (AD) and risk sensitivity calculations including delta and cross-gamma.
python
students
finance
trading
curves
risk
currency
derivatives
fx
investment
inflation
bonds
interest-rates
treasury
fixed-income
risk-management
swaps
derivatives-pricing
inflation-linked
cross-currency
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Updated
Apr 25, 2024 - Python