Pinned Repositories
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.
SwapsBook
Low Latency Interest Rate Markets – Theory, Pricing and Practice
rettifilo1949's Repositories
rettifilo1949/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.
rettifilo1949/SwapsBook
Low Latency Interest Rate Markets – Theory, Pricing and Practice