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

finance

View on GitHub Website

366 Stars

70 Forks

5 Watchers

other License

100 SrcLog Score

Cost to Build

$153.8K

Market Value

$516.5K

How is this calculated?

Growth over time

8 data points · 2026-04-08 → 2026-10-18

Stars Forks Watchers

💬

How do you feel about this project?

Ask AI about rateslib

Question copied to clipboard

What is the attack68/rateslib GitHub project? Description: "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.". Explain what it does, its main use cases, key features, and who would benefit from using it.

Question is copied to clipboard — paste it after the AI opens.

How to clone rateslib

Clone via HTTPS

git clone https://github.com/attack68/rateslib.git

Clone via SSH

[email protected]:attack68/rateslib.git

Download ZIP

Download main.zip

Found an issue?

Report bugs or request features on the rateslib issue tracker:

Open GitHub Issues

Similar to rateslib

vnpy tushare dash rqalpha ta-lib-python Lean awesome-quant StockSharp math-php firefly-iii awesome-quant bulbea akaunting gooderp_addons pandas-datareader yahoo-finance alphalens fooltrader go-finance alpha_vantage moneymanagerex fecon235 Strata grs quantmod IEX-API Blog economizzer receipt-parser parity