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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 differentiation (AD) and risk sensitivity calculations including delta and cross-gamma.
The main features of attack68/rateslib are: Financial Instruments and Pricing.
Open-source alternatives to attack68/rateslib include: lballabio/quantlib — QuantLib is a quantitative finance library and analysis engine built in C++ for executing complex financial… artyyouth/r-quant — R code for quantitative analysis in finance. avhz/rustquant — Rust library for quantitative finance. aviks/ito.jl — A Julia package for quantitative finance. bbcho/finoptions-dev — Python implementation of the R package fOptions for use in energy trading. Changes include coverting the package to… alpha-miner/finance-python — python tools for Finance with the functionality of indicator calculation, business day calculation and so on.
QuantLib is a quantitative finance library and analysis engine built in C++ for executing complex financial calculations and simulations. It serves as a framework for quantitative finance modeling and trading risk management, providing the tools necessary to calculate fair values and risk metrics for diverse financial assets. The project focuses on financial instrument modeling and the evaluation of potential losses and exposure levels to inform portfolio management decisions. It provides a system for modeling financial instruments and managing trading risk through quantitative mathematical m
python tools for Finance with the functionality of indicator calculation, business day calculation and so on.
