# attack68/rateslib

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347 stars · 64 forks · NOASSERTION

## Links

- GitHub: https://github.com/attack68/rateslib
- Homepage: https://rateslib.com/py/
- awesome-repositories: https://awesome-repositories.com/repository/attack68-rateslib.md

## Description

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.

## Tags

### Part of an Awesome List

- [Financial Instruments and Pricing](https://awesome-repositories.com/f/awesome-lists/data/financial-instruments-and-pricing.md) — Fixed income library for pricing bonds, swaps, and derivatives.