attack68/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.
PythonNOASSERTION
Pinned issues
Issues
- 1
RLS: upgrade to sphinx 8.0 for docs
#370 opened by attack68 - 2
BUG: spec issue for `us_gb` `eom` parameter?
#358 opened by arghodatta - 0
DOC: update coverage
#364 opened by attack68 - 5
- 6
- 0
- 1
IndexFixedRateBond fails when passing a datetime indexed Series as index_fixings parameter
#346 opened by ArnaudToma - 4
How we configure repository for this project?
#342 opened by Cloda - 2
CORRA specs not available - bug?
#324 opened by rubiks99 - 1
- 1
ENH: Adding Calendars via PR
#216 opened by attack68 - 0
ERRATA: "Coding Interest Rates: FX Swaps and Bonds"
#322 opened by attack68 - 8
FloatRateNote is failing to calculate cashflows
#149 opened by lcohan - 1
TST: add a "linear_zero_rate" interp test before switching to posix timestamps
#133 opened by attack68 - 6
- 2
- 1
- 0
BUG?: handling global vol surface calibrations
#274 opened by attack68 - 0
ENH: extend Bill duration to be more natural as opposed to YTM equiv duration
#277 opened by attack68 - 1
- 4
BUG? _dcf_actacticma with leap year
#144 opened by shh6242 - 1
BUG?: Only apply modified roll convention to tenors which are months and years?
#259 opened by attack68 - 1
- 1
ENH: FXOptions should have an "eom" param to control expiry determination from tenor
#265 opened by attack68 - 1
BUG?: Derive horizon, expiry, delivery and payment according to conventions for FXOptions
#260 opened by attack68 - 0
- 1
- 10
DOC: how to create curves from CC zero rates
#178 opened by attack68 - 2
- 1
- 2
- 1
BUG: error message displayed when using `FXExchange`
#227 opened by attack68 - 6
QST: Pricing mid market cross currency basis
#225 opened by ArnaudToma - 1
- 0
HELP: compile wheels for Many Linux using maturin?
#198 opened by attack68 - 0
- 4
BUG: Error running cashflows on IRS with a NPV
#170 opened by dwbhappy - 1
- 0
BUG: curve failure out of bounds?
#134 opened by attack68 - 0
BUG: `Curve.shift` may unnecessarily drop `Dual` configurations and return only `ad=0` `Curve`
#153 opened by attack68 - 2
Can't replicate Bloomberg USD OIS Discount Curve
#145 opened by johndoe28 - 1
- 3
- 1
- 1
DOC: FXSwap links to an old object. Should update
#113 opened by attack68 - 2
- 2
Solver on 6M Euribor curve leads to odd DF's
#108 opened by aghilario - 0
- 1
ENH: add an attribute to `Solver` that records the state of the iteration success or failure
#90 opened by attack68 - 1
ENH: Handling back stub interpolators
#78 opened by attack68