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 differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.
python students finance trading curves risk currency derivatives fx investment inflation bonds interest-rates treasury fixed-income risk-management swaps derivatives-pricing inflation-linked cross-currency
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Updated
Dec 16, 2024 - Python