JHM Darbyshire

icon indicating a website link https://rateslib.com

icon location Stockholm, Sweden icon location IRSs and XCSs Trader (Swedbank, Nordea, Barclays). Author. Core dev team volunteer (Pandas).

Results 67 issues of JHM Darbyshire

TST: add tests for FXForwards cache is cleared on update and set_ad_order

fx
tests

ENH: FXForwards Aggregator

REF: change to SabrNodes NamedTuple

BUG: Unpriced Instruments concept and Solver interaction

FXSwaps split notional? XCS fx fixings?

bug
derivatives
solver
curves

ENH: add a Cache definition for `FXDeltaVolSmile`

enhancement
fx
curves

ENH: add a `next_imm` method

enhancement
scheduling

DEV: add skeleton for Schedule

BUG: FRN `ytm` requires accrued for dirty prices

```python curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.8}, convention="act365f") frn = FloatRateNote(dt(2000, 1, 1), "5y", "Q", float_spread=200) frn.ytm(price=100, settlement=dt(2000, 1, 3), curve=curve) # FAILS frn.ytm(price=100, settlement=dt(2000, 1,...

bug
securities

ENH: add `metric` to STIRFuture init

enhancement
derivatives

ENH: set a time label on months if length of axis is measured (MatPlotLib)

curves
UI