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.

Library of Bonds, Swaps, Curves etc for educational purposes

Demonstrating a SOFR interest rate swaps curve and risk metrics in RatesLib

A conda-smithy repository for rateslib.

rateslib demo code served using jupyterlite

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rates valuation models library

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A c++ rates library

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