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...
In the following example I've priced two bonds, a TIPS 07/28 and it's fake nominal equivalent. The inflation fixings are hard coded for convenience. ```Python treas_0728 = rl.FixedRateBond( effective=datetime(2018,7,31), termination=datetime(2028,7,15),...
This is a list of errata in "Coding Interest Rate Derivatives" edition 1. - p12: _"dual numbers also form a field"_: this is **not true** due to the many zeros...