attack68/rateslib

Issues

• DEP: change `pandas` to `polars` for package size

  #477 opened 2 months ago by attack68
  1

• Apply `_validate_states` to FXDeltaVolSurface` methods

  #582 opened 13 days ago by attack68
  0

• BUG: schedule `effective` not aligning with aschedule[0]

  #562 opened 23 days ago by attack68
  0

• BUG: STIRFuture does not adhere to `fx` and `base` on NPV and probably others.

  #518 opened a month ago by attack68
  0

• DOC: add `VolValue` to instruments user guide

  #509 opened a month ago by attack68
  0

• BUG: standard model CDS MF except last period for accrued premium

  #496 opened 2 months ago by attack68
  0

• ENH: make fixings table available to *Instruments* as well as *Legs*

  #382 opened 2 months ago by attack68
  1

• DOC: link to doc notes about `leg2_fixing_method` for IRS

  #262 opened 2 months ago by attack68
  0

• BUG?: when is the usual payment date for a FRA? Relative to accrual start or fixing date?

  #505 opened 2 months ago by attack68
  1

• DOC: calendar classes are missing,.

  #504 opened 2 months ago by attack68
  0

• DOC: update coverage

  #364 opened 2 months ago by attack68
  0

• get_imm in namespace

  #485 opened 2 months ago by attack68
  0

• Div by Zero

  #483 opened 2 months ago by attack68
  1

• BUG? FXStrangle calibration

  #468 opened 2 months ago by xwzhu
  6

• FX option payment lag definition

  #469 opened 2 months ago by xwzhu
  6

• PERF: copying a curve should maybe copy its cache?

  #438 opened 3 months ago by attack68
  1

• ENV: google analytics only an env var

  #462 opened 2 months ago by attack68
  0

• DOC: plotting curves with tenors longer than 1y and simple rates

  #246 opened 3 months ago by henrikparssinen
  2

• BUG: shifting curves must align with the AD order

  #439 opened 3 months ago by attack68
  1

• ENH: pnl explain from two Open and Close Solvers

  #430 opened 3 months ago by attack68
  0

• BUG?: IndexFixedLeg and ZeroIndexLeg treat initialising ``index_base`` differently

  #412 opened 4 months ago by attack68
  0

• Adding AUD and NZD calendar and IRS spec into spec_loader?

  #350 opened 3 months ago by ChrisSun19921016
  11

• BUG: printing defaults doesnt show all options.

  #427 opened 3 months ago by attack68
  0

• Rateslib Performance on large number of instuments

  #420 opened 3 months ago by ChrisSun19921016
  2

• follow up schedule repr with doc edits

  #417 opened 4 months ago by attack68
  0

• WEB: links needs fixing to new server

  #404 opened 4 months ago by attack68
  0

• DOC: BillCalcMode et al need defined docs

  #405 opened 4 months ago by attack68
  0

• DOC: get_imm is unlinked

  #398 opened 4 months ago by attack68
  0

• Serializing curves and solvers relying on multi-currency instruments

  #392 opened 4 months ago by ArnaudToma
  4

• BUG: Spelling error: Carlo.lock instead of Cargo.lock in gitignore

  #384 opened 4 months ago by marcopist
  0

• RLS: upgrade to sphinx 8.0 for docs

  #370 opened 4 months ago by attack68
  1

• BUG: spec issue for `us_gb` `eom` parameter?

  #358 opened 4 months ago by arghodatta
  2

• IndexFixedRateBond computes Price and YTM as non-inflated

  #349 opened 4 months ago by ArnaudToma
  5

• DOC: improving advice re: ZCIS and IndexCurves, especially `index_base`

  #355 opened 4 months ago by attack68
  0

• IndexFixedRateBond fails when passing a datetime indexed Series as index_fixings parameter

  #346 opened 4 months ago by ArnaudToma
  1

• How we configure repository for this project?

  #342 opened 5 months ago by Cloda
  4

• CORRA specs not available - bug?

  #324 opened 5 months ago by rubiks99
  2

• ERRATA: "Coding Interest Rates: FX Swaps and Bonds"

  #322 opened 5 months ago by attack68
  0

• DOC: ZAR OIS Curve + Forecasting Curve Build + Depo Instruments

  #256 opened 5 months ago by KyleFe
  6

• Consistency with short term tenors when building longer curves

  #292 opened 5 months ago by ArnaudToma
  2

• ENH: add `weights` to a DeltaVolSurface to control volatility interpolation

  #280 opened 5 months ago by attack68
  1

• BUG?: handling global vol surface calibrations

  #274 opened 6 months ago by attack68
  0

• ENH: extend Bill duration to be more natural as opposed to YTM equiv duration

  #277 opened 6 months ago by attack68
  0

• BUG?: Only apply modified roll convention to tenors which are months and years?

  #259 opened 6 months ago by attack68
  1

• REF: FRA loads a `Cal` into kwargs while an IRS stores the text input.

  #263 opened 6 months ago by attack68
  1

• ENH: FXOptions should have an "eom" param to control expiry determination from tenor

  #265 opened 6 months ago by attack68
  1

• BUG?: Derive horizon, expiry, delivery and payment according to conventions for FXOptions

  #260 opened 6 months ago by attack68
  1

• BUG: `set order` for `FXRates` needs to derive not convert

  #245 opened 6 months ago by attack68
  2

• ENH: mechanism to add custom calendars to defaults as string accessible.

  #233 opened 7 months ago by attack68
  1

• BUG: error message displayed when using `FXExchange`

  #227 opened 7 months ago by attack68
  1