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Search: rateslib

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attack68/rateslib

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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... Read more

★ 368 Forks 71 attack68 Updated 19 Oct 2026

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