interest-rate-models

Classic interest rate models in Python: short-rate models (Vasicek, CIR, Ho-Lee, Hull-White, G2++) and full-curve models (Heath-Jarrow-Morton, LIBOR Market Model) behind one interface, with analytic bond and option pricing where it exists and exact or discretized Monte Carlo simulation everywhere.

Full documentation: interest-rate-models.readthedocs.io

Installation

pip install interest-rate-models

Requires Python >= 3.13.

Quick start

import numpy as np
from interest_rate_models import DiscountCurve, get_model

# Market curve: pillar maturities and continuously-compounded zero rates
curve = DiscountCurve.from_zero_rates(
    times=np.array([0.5, 1.0, 2.0, 5.0, 10.0]),
    zero_rates=np.array([0.030, 0.032, 0.034, 0.037, 0.039]),
)

# No-arbitrage short-rate model fitted to the curve
hw = get_model("hull-white", curve=curve, a=0.1, sigma=0.01)
print(hw.bond_price(0.0, 5.0))          # reproduces curve.discount(5.0)
print(hw.bond_option(1.0, 5.0, strike=0.85, kind="call"))

# Equilibrium model calibrated to the curve
vasicek = get_model("vasicek", kappa=0.5, theta=0.04, sigma=0.01)
params = vasicek.calibrate(curve, r0=0.03)

# Full-curve models
lmm = get_model("lmm", curve=curve, tenor=0.5, n_periods=10, vol=0.20)
print(lmm.cap_price(strike=0.035))

The factory accepts "vasicek", "cir", "ho-lee", "hull-white", "g2++", "hjm", and "lmm". See the documentation for each model's dynamics, formulas, parameters, and configuration.

Contributing

Contributions, bug reports, and feature requests are welcome. Open an issue or submit a PR on GitHub.

License

MIT