/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.

Primary LanguagePythonOtherNOASSERTION

Pinned issues

ENH: Adding Calendars via PR

#216 opened by attack68

Open1

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