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Functions for fixed-income pricing and risk management

Project description

This module has been created to provide functions that are useful in pricing and risk management of fixed-income securities. The goal is to break-down complex quantitative financial calculations into easy-to-understand functions as much as possible.

To begin with, there are two functions:
duration: calculates the Macaulay and Modified Durations. bondprice: provides an estimated price for a security for a given basis point change.

More functions will be added periodically.

Project details


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1.0.0

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Filename, size & hash SHA256 hash help File type Python version Upload date
quantfns-1.0.0.tar.gz (1.4 kB) Copy SHA256 hash SHA256 Source None Apr 18, 2014

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