A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

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

A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change

Fixed Income Analytics, Portfolio Construction Analytics, Transaction Cost Analytics, Counter Party Analytics, Asset Backed Analytics

Fixed income tools for R

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Optio…

Python class and jupyter iPython notebook for pricing a fixed coupon bond

Quantitative analysis of Fixed Income Securities, including bond pricing models, yield curve fitting, PCA analysis, bond returns predictability and fixed income derivatives.

Basic package for fitting yield-curves and other things.

US Treasuries Yield Curve Data

Standardised Bloomberg Fixed Income Processing

AAD enabled and scripting included derivatives modeling.

Contains Python code and files used to estimate shadow rate using Krippner's K-ANSM(2) with an estimated lower bound term structure model

Based on the concepts in "CIMTR" and others, swing trading

FIBRA - Fixed Income Brazil. Government and Corporate Bonds Pricing.

Interest-rate modeling and Fixed Income Pricing in Python

Replicates the script for generating the Wu Xia shadow rate term structure model in python