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curves

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rateslib

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.

  • Updated Oct 28, 2024
  • Python

Few programs in RPN/FOCAL (HP41) for ellipse perimeter calculation and isoperimeter points calculation in the area (0-pi/2). Some calculations are made by infinite series or convergence series (AGM and MAGM). Some calculations are made with modified cycloids or modified conics. The concept of cosinus elliptique is introduced. One program in pyth…

  • Updated May 12, 2024
  • Python

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