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.

US Treasuries Yield Curve Data

Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model

A python library for modeling and analyzing fixed income securities

Replicates the script for generating the Wu Xia shadow rate term structure model in python

Python methods to create a Ho-Lee binomial interest rate model for fixed income security pricing: caps, swaps, bonds, etc.

Models for Fixed Income instruments pricing

Python script for calculating the spread risk solvency capital charge ("SCR") for a bond portfolio under Solvency II (along the standard formula)

Python Fixed Income Securities & Derivatives analytics package

Unofficial Python Wrapper for BymaData API service.

Random array of scripts to price securities, analyse market data, etc..

Custom Python library focused on numerical methods for valuing fixed income securities: bonds, swaps, options, etc.

This is a library for fixed income quant analytics.

Some Overview Of Fixed Income Analytics: Pricing and Risk Management

Personal library for financial calculations