rateslib
door attack68 · open-source Boekhouding & financiën · Financiële rapportage
52/100
EU-maintainer
Beschrijving
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.
Atlas-score
- EU-based maintainer (self-reported: Stockholm, Sweden)
- Last commit 128 days ago
- Top 37% by stars in Construction & Real Estate::Contract Management