A fixed income library for trading interest rates
Project description
Rateslib
Rateslib is a state-of-the-art fixed income library designed for Python.
Its purpose is to provide advanced, flexible and efficient fixed income analysis
with a high level, well documented API.
Its design objective is to be able to create a self-consistent, arbitrage free framework for pricing all aspects of fixed income trading, such as spot FX, FX forwards, single currency securities and derivatives like fixed rate bonds and IRSs, and also multi-currency derivatives such as FX swaps and cross-currency swaps. Options, swaptions and inflation are also under consideration for future development.
The techniques and object interaction within rateslib were inspired by the requirements of multi-disciplined fixed income teams working, both cooperatively and independently, within global investment banks.
Licence
This library is released under a Creative Commons Attribution, Non-Commercial, No-Derivatives 4.0 International Licence.
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