JHM Darbyshire

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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

TYP: calibrating instruments of Solver

validate if this is True: `s: Sequence[DualTypes]` or if `s: Sequence[float]` is necessary

solver
typing

ENH: handle monthly or quarterly frequencies defined by number of days or weeks

E.g. monthly variety lasting 28 days (4W) or quarterly variety lasting 91days (13W)

enhancement
scheduling

DOC/RUFF: fixes for D

DEP: change `pandas` to `polars` for package size

4 comment

`pandas` is a more fully featured library, but 99% of those features are not used by `rateslib`. `polars` is more efficient for the use cases but suffers from portability. Until...

performance
on hold

Creditimplied

BUG: schedule `effective` not aligning with aschedule[0]

``` ZCIS(dt(2024, 12, 15), "5y", spec="eur_zcis", curves=[icurve, curve]).cashflows() ```

bug
scheduling

BUG: standard model CDS MF except last period for accrued premium

bug
derivatives

PERF: copying a curve should maybe copy its cache?

1 comment

low priority
performance
curves
on hold

ENH: pnl explain from two Open and Close Solvers

enhancement
solver

REF: rate fixings sensitivity requires ref ccy, settlement ccy and base ccy

Separation and display of all of these to allow downstream calculations and comparisons.

derivatives
UI