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GitHub topics: inflation-linked

lakshmiDRIP/DROP

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

Language: HTML - Size: 3.48 GB - Last synced at: 3 days ago - Pushed at: 3 days ago - Stars: 124 - Forks: 47

attack68/rateslib

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 differentiaton (AD) and risk sensitivity calculations including delta and cross-gamma.

Language: Python - Size: 11.3 MB - Last synced at: 7 days ago - Pushed at: 7 days ago - Stars: 217 - Forks: 41

Related Keywords
treasury 2 interest-rates 2 inflation-linked 2 fx 2 fixed-income 2 python 1 investment 1 inflation 1 risk 1 risk-management 1 students 1 swaps 1 finance 1 derivatives-pricing 1 derivatives 1 curves 1 currency 1 cross-currency 1 bonds 1 trading 1 transaction-cost-analytics 1 statistical-learning 1 portfolio-optimization 1 municipals 1 market-risk 1 loans 1 java 1 emerging-market 1 cva-dva-fva-kva-xva 1 credit-risk 1 counterparty-risk 1 corporates 1 bond 1 asset-backed 1 asset-allocation 1