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attack68/rateslib

A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) and FX swaps. Contains tools for full curveset construction with market standard optimisers and automatic differentiation (AD) and risk sensitivity calculations including delta and cross-gamma.

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Stars
363
Forks
68
Open issues
24
Commits
20

Activity and growth

Latest capture 2026-09-29 03:05

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Commits · last 7 days
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Stars since tracking
+16
Stored snapshots
5

Classification

Topics

#bonds #cross-currency #currency #curves #derivatives #derivatives-pricing #finance #fixed-income #fx #inflation #inflation-linked #interest-rates #investment #python #risk #risk-management #students #swaps #trading #treasury

Technology stack

pytest

Metadata

License
NOASSERTION
Default branch
main
Created
2023-03-31
First commit
2023-03-31
Last pushed
2026-05-20
GitHub updated
2026-09-26
Last synced
2026-09-29 03:05
Stack scanned
2026-09-29 03:05
Archived
No

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5 observed captures since 2026-06-19. Observed captures are shown by default.

Stars from first capture +16

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