rateslib
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A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps. Contains tools for full Curveset construction with market standard optimisers and a...
``` dates = [ dt(2000, 1, 3), dt(2001, 1, 3), dt(2002, 1, 3), dt(2003, 1, 3), dt(2004, 1, 3), dt(2005, 1, 3), dt(2006, 1, 3), dt(2007, 1, 3), dt(2008, 1,...
``` curve = Curve( nodes={dt(2023, 3, 7): 1.0, dt(2033, 9, 7): 0.68}, calendar="ldn", convention="act365f", ) sensitivity_curve = curve.shift(Dual(0.0, ["z"], [])) ``` Sensitivity curve has **no** sensitivity.
Hi! I've been trying to follow the example in the FloatingRateNote Guide, but there seems to be a bug in the definition of the fixing I have not been able...
`Bill.dcf` attribute throws large dcf years when using convention ActActICMA. I think the problem is the effective date of 29th Feb 2024. Could you please see if `_dcf_actacticma` working well...
Consider allowing a `to_json` method for proxy curves to mediate string exchange of data. Or possibly, just configure a `to_json` method for an `FXForwards` object, from which the `ProxyCurve` can...